<PAGE> 1
MUNICIPAL BOND FUNDS
ANNUAL REPORT
For the year ended June 30, 2000
[One Group Logo]
ONE GROUP(R) SHORT-TERM MUNICIPAL BOND FUND
ONE GROUP(R) INTERMEDIATE TAX-FREE BOND FUND
ONE GROUP(R) TAX-FREE BOND FUND
ONE GROUP(R) MUNICIPAL INCOME FUND
ONE GROUP(R) ARIZONA MUNICIPAL BOND FUND
ONE GROUP(R) KENTUCKY MUNICIPAL BOND FUND
ONE GROUP(R) LOUISIANA MUNICIPAL BOND FUND
ONE GROUP(R) MICHIGAN MUNICIPAL BOND FUND
ONE GROUP(R) OHIO MUNICIPAL BOND FUND
ONE GROUP(R) WEST VIRGINIA MUNICIPAL BOND FUND
<PAGE> 2
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
<PAGE> 3
Table of Contents
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Portfolio Performance Review............................................... 2
Schedules of Portfolio Investments......................................... 30
Statements of Assets and Liabilities........................................ 107
Statements of Operations.................................................... 109
Statements of Changes in Net Assets......................................... 111
Schedules of Capital Stock Activity......................................... 114
Financial Highlights........................................................ 118
Notes to Financial Statements............................................... 149
Report of Independent Accountants........................................... 158
1
<PAGE> 4
One Group Short-Term Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Short-Term Municipal Bond Fund I
share class posted a total return of 2.93%. (For information on other share
classes and performance comparisons to indexes, please see page 3.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
The major events influencing the municipal bond market over the past fiscal year
were much the same as those influencing the taxable bond market. In an effort to
slow down the U.S. economy and ward off inflationary pressures, the Federal
Reserve took on a restrictive posture. As rates moved up, bond markets weakened.
Furthermore, the specter of Y2K and a year of dropping bond prices led to a
highly illiquid market in the final months of 1999.
At the start of the new year a relief rally surfaced, lasting for almost the
entire first quarter of 2000. Municipal bond prices firmed as the market easily
digested a light supply of new issues. But, in mid-April, a still-growing
economy generated a sell-off in the market, which stifled the first quarter's
price gains.
At the end of May, we saw a very resilient market turn on a dime as dealers
looked to fill the anticipated strong retail demand coming in June and
July--typically the biggest months for coupon payment, bond calls and bond
maturities. This rally led to yield declines across the curve.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
The Fund's yield increased during the year, due to the rising interest rate
environment and our active management strategies. As of June 30, 2000, the
Fund's 30 day SEC yield on I shares was 4.64%, compared to 3.80% on June 30,
1999. (For investors in the 39.6% federal income tax bracket, the 4.64%
tax-exempt yield translates to a taxable-equivalent yield of 7.68%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
To offset the effects of the Federal Reserve's interest rate policy, we began
aggressively shortening the Fund's average duration during the first quarter of
calendar year 2000. (Duration is a measure of a fund's sensitivity to interest
rate changes. A longer duration indicates greater sensitivity; a shorter
duration indicates less.) To maintain an attractive yield in the Fund, we used
LIBOR-based floating-rate securities, which offered a higher yield than other
types of floating-rate securities. Then, at the end of the first quarter of
calendar year 2000, we began extending the Fund's duration. This enhanced Fund
performance, as municipal bond prices recovered strongly through June 2000.
An anomaly occurred around tax time. As investors typically redeem shares to
meet their tax payments, dealers usually pump up short-term municipal rates to
help keep inventories low. When investors did not come back into the market,
dealers were forced to keep short-term rates artificially high for a protracted
period. This enabled the Fund to earn higher-than-normal returns with
shorter-than-normal duration. As rates began their reversion to the norm, we
were able to purchase attractively priced bonds that enhanced yield and total
return. With the rally that began in late May, these bonds appreciated in price.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
On June 30, 2000, 31% of the Fund was invested in "AAA"-rated securities, 8% in
"AA," 11% in "A," 14% in "BBB," and 36% in other and non-rated securities.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's action over the past year has led us to hold a
higher-than-normal cash balance and a shorter-than-normal average duration in
the Fund. With signs of a slowing economy, we believe the Federal Reserve may be
near the end of its tightening campaign. As such, we plan to continue our
efforts to move the Fund's duration closer to an average position.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
2
<PAGE> 5
One Group Short-Term Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class I 2.93% 3.42%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER SHORT-TERM
LEHMAN BROTHERS 3 YEAR MUNICIPAL DEBT FUND
CLASS I MUNICIPAL BOND INDEX INDEX
------- ---------------------- -------------------
<S> <C> <C> <C>
5/98 10000 10000 10000
6/98 10121 10126 10095
6/99 10446 10496 10442
6/00 10752 10888 10768
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class A 2.47% 3.02%
Class A* (0.60)% 1.58%
</TABLE>
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 3 LIPPER SHORT-TERM
YEAR MUNICIPAL BOND MUNICIPAL DEBT FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
5/98 10000 9700 10000 10000
6/98 10097 9794 10126 10095
6/99 10406 10094 10496 10442
6/00 10664 10344 10888 10768
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class B 2.08% 2.53%
Class B** (0.89)% 1.63%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 3 LIPPER SHORT-TERM
YEAR MUNICIPAL BOND MUNICIPAL DEBT FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
5/98 10000 10000 10000 10000
6/98 10098 10098 10126 10095
6/99 10339 10339 10496 10442
6/00 10553 10355 10888 10768
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus Short
Municipal Bond Fund prior to the acquisition by the One Group Short-Term
Municipal Bond Fund on March 22, 1999.
The performance of the Short-Term Municipal Bond Fund is measured against the
Lehman Brothers 3 Year Municipal Bond Index, an unmanaged index generally
representative of the short-term municipal bond market. Investors are unable to
purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management fees. By
contrast, the performance of the Fund reflects the deduction of these services
as well as the deduction of sales charges on Class A shares and applicable
contingent deferred sales charges on Class B shares.
The Lipper Short-Term Municipal Debt Fund Index consists of funds that invest in
municipal debt issues with dollar-weighted average maturities of one to three
years.
3
<PAGE> 6
One Group Intermediate Tax-Free Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Intermediate Tax-Free Bond Fund I
share class posted a total return of 2.19%. (For information on other share
classes and performance comparisons to indexes, please see page 5.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
The major events influencing the municipal bond market over the past fiscal year
were much the same as those influencing the taxable bond market. In an effort to
slow down the U.S. economy and ward off inflationary pressures, the Federal
Reserve took on a restrictive posture. As rates moved up, bond markets weakened.
Furthermore, the specter of Y2K and a year of dropping bond prices led to a
highly illiquid market in the final months of 1999.
At the start of the new year a relief rally surfaced, lasting for almost the
entire first quarter of 2000. Municipal bond prices firmed as the market easily
digested a light supply of new issues. But, in mid-April, a still-growing
economy generated a sell-off in the market, which stifled the first quarter's
price gains.
At the end of May, we saw a very resilient market turn on a dime as dealers
looked to fill the anticipated strong retail demand coming in June and
July--typically the biggest months for coupon payment, bond calls and bond
maturities. This rally led to yield declines across the curve.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
As interest rates generally increased during the year, so did the Fund's yield.
As of June 30, 2000, the Fund's 30 day SEC yield on I shares was 4.71%, compared
to 4.45% on June 30, 1999. (For investors in the 39.6% federal income tax
bracket, the 4.71% tax-exempt yield translates to a taxable-equivalent yield of
7.80%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Going into the end of 1999, we attempted to keep the Fund very liquid. This
strategy worked well, given the illiquid nature of the municipal market during
the final few months of 1999. The market's illiquidity contributed to a period
of heavy redemptions during November and December 1999. Redemptions continued
through tax season, as investors withdrew funds to meet their 1999 tax bills.
This redemption activity led us to sell bonds in an attempt to keep the Fund's
cash position at a comfortable level. Because of this, the Fund was unable to
benefit from the relief rally that emerged in the first quarter of 2000.
Nevertheless, the Fund has participated in the latest rally that began in late
May. With more supply moving into the market, we decided to extend the Fund's
duration by purchasing high-quality, highly-liquid bonds. (Duration is a measure
of a fund's sensitivity to interest rate changes. A longer duration indicates
greater sensitivity; a shorter duration indicates less.) As interest rates
started declining in late May, the Fund's price performance benefited from the
portfolio's longer duration.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's overall credit quality remained solid during the year. On June 30,
2000, 48% of the Fund was invested in "AAA"-rated securities, 28% in "AA," 9% in
"A," 5% in "BBB," and 10% in other and non-rated securities.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's action over the past year has led us to hold a
higher-than-normal cash balance and a shorter-than-normal average duration in
the Fund. With signs of a slowing economy, we believe the Federal Reserve may be
near the end of its tightening campaign. As such, we plan to continue our
efforts to move the Fund's duration closer to its average of 5.9 years.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
4
<PAGE> 7
One Group Intermediate Tax-Free Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/4/90)
<S> <C> <C> <C> <C>
Class I 2.19% 4.92% 5.91%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
CLASS I MUNICIPAL BOND INDEX MUNICIPAL FUND INDEX
------- ---------------------- --------------------
<S> <C> <C> <C>
9/90 10000 10000 10000
6/91 10777 10831 10785
6/92 11804 12015 11894
6/93 12961 13305 13070
6/94 12946 13474 13199
6/95 13823 14582 14092
6/96 14568 15390 14802
6/97 15699 16471 15810
6/98 16913 17680 16909
6/99 17203 18197 17281
6/00 17579 18922 17754
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C> <C>
Class A 2.03% 4.70% 5.03%
Class A* (2.53)% 3.74% 4.45%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
2/92 10000 9548 10000 10000
6/92 10314 9848 10319 10311
6/93 11291 10781 11428 11331
6/94 11253 10745 11572 11443
6/95 11983 11442 12525 12216
6/96 12616 12046 13218 12832
6/97 13547 12935 14147 13706
6/98 14563 13905 15185 14659
6/99 14774 14107 15629 14981
6/00 15075 14394 16252 15392
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C> <C>
Class B 1.46% 4.04% 3.30%
Class B** (3.42)% 3.70% 3.30%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9552 9552 9724 9700
6/95 10115 10115 10524 10356
6/96 10568 10568 11107 10878
6/97 11289 11289 11887 11618
6/98 12057 12057 12760 12426
6/99 12153 12153 13133 12699
6/00 12331 12331 13656 13047
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Intermediate Tax-Free Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
5
<PAGE> 8
One Group Tax-Free Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Tax-Free Bond Fund I share class
posted a total return of 2.64%. (For information on other share classes and
performance comparisons to indexes, please see page 8.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MUNICIPAL MARKET?
Overall, interest rates moved higher during the 12-month period ending June 30,
2000. In general, municipal bond rates followed the moves of the Treasury
market, which reacted to changing expectations regarding Federal Reserve policy.
When economic indicators showed strong economic growth and signs of inflation,
expectations that the Federal Reserve would raise rates pushed bond prices
lower. But, after economic reports late in the fiscal year indicated a slowdown
in economic growth, expectations for further rate hikes over the near term
diminished, and the bond market rallied.
Strong stock market performance in the fourth quarter of 1999 affected the bond
markets, as investors continued to flock to stocks at the expense of bonds. This
forced most municipal bond mutual funds to sell securities in order to meet
redemptions. Because the supply created from mutual fund selling far outpaced
demand, the market weakened. The Fund experienced heavy redemptions during this
period, but its large cash position enabled us to meet redemptions without being
forced to sell bonds into the illiquid market.
The concentration of wealth in California led to strong demand for California
municipal bonds. This heavy demand drove California municipal bond prices
significantly higher than municipal bond prices in other states. We were able to
take advantage of this demand by selling some of the Fund's California bonds at
very high levels and purchasing more attractively priced bonds issued by other
states.
HOW DID THE FUND'S YIELD CHANGE?
Providing a high level of tax-exempt income is one of the Fund's primary goals.
The Fund's yield increased during the year as a result of portfolio management
strategies as well as rising interest rates. As of June 30, 2000, the Fund's 30
day SEC yield on I shares was 4.93%, compared to 4.49% on June 30, 1999. (For
investors in the 39.6% federal income tax bracket, the 4.93% tax-exempt yield
translates to a taxable-equivalent yield of 8.16%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our investment strategy during the first half of the fiscal year was to maintain
a shorter-than-market duration and a large cash balance in anticipation of a
weak market with poor liquidity. This strategy proved effective, as municipal
bond prices declined during that period. In the second half of the fiscal year,
our primary strategy was to increase the Fund's yield and to restructure and
extend the Fund's average maturity. As such, we moved the Fund's duration to a
more neutral stance of approximately 7.5 years. (Duration is a measure of a
fund's sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) This effort was effective
because the market improved, and the lengthening of duration allowed the Fund to
participate in the declining rate environment.
In the first half of the fiscal year, housing bonds were strong performers due
to the rising interest rate environment. The Fund's exposure to this sector
positively contributed to performance. In the second half zero-coupon bonds and
intermediate- to long-duration bonds with call protection were the best
performers in the Fund. (The "call" feature refers to the bond issuer's right to
repay, or "call," the bond before the scheduled maturity date. Securities that
have call protection are protected from this.)
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's overall credit quality remained high, with more than 54% of the
Fund's assets invested in "AAA"-rated securities. Securities rated "AA"
comprised 35% of Fund assets; "A"-rated, 8%; and "BBB"-rated, 2%. We take
advantage of opportunities to enhance the Fund's yield by purchasing bonds rated
below "AAA" when the yield advantages compensate for the lower credit rating.
6
<PAGE> 9
One Group Tax-Free Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT IS YOUR OUTLOOK FOR THE FUND?
Our goals are to continue striving for an attractive total return and generating
a relatively strong SEC yield. To realize those goals, we will continue to take
advantage of yield curve opportunities and to invest in what we believe are the
most attractive credits and sectors.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
7
<PAGE> 10
One Group Tax-Free Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/1/88)
<S> <C> <C> <C> <C> <C>
Class I 2.64% 5.24% 7.12% 7.28%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER GENERAL MUNICIPAL
CLASS I MUNICIPAL BOND INDEX DEBT INDEX
------- -------------------- ------------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10994 10901 10817
6/92 12278 12184 12150
6/93 13715 13642 13628
6/94 13917 13664 13542
6/95 15414 14870 14630
6/96 16262 15857 15513
6/97 17553 17166 16776
6/98 19057 18652 18231
6/99 19384 19167 18524
6/00 19896 19791 18759
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/1/88)
<S> <C> <C> <C> <C> <C>
Class A 2.47% 4.94% 6.97% 7.16%
Class A* (2.17)% 3.99% 6.48% 6.76%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
MUNICIPAL BOND LIPPER GENERAL
CLASS A CLASS A* INDEX MUNICIPAL DEBT INDEX
------- -------- --------------- --------------------
<S> <C> <C> <C> <C>
6/90 10000 9554 10000 10000
6/91 10994 10503 10901 10817
6/92 12278 11730 12184 12150
6/93 13715 13103 13642 13628
6/94 13917 13295 13664 13542
6/95 15411 14723 14870 14630
6/96 16183 15460 15857 15513
6/97 17438 16659 17166 16776
6/98 18869 18027 18652 18231
6/99 19145 18290 19167 18524
6/00 19617 18741 19791 18759
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/4/95)
<S> <C> <C> <C> <C>
Class B 1.80% 4.17% 4.50%
Class B** (3.09)% 3.84% 4.34%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
MUNICIPAL BOND LIPPER GENERAL
CLASS B CLASS B** INDEX MUNICIPAL DEBT INDEX
------- --------- --------------- --------------------
<S> <C> <C> <C> <C>
4/95 10000 10000 10000 10000
6/95 10264 10264 10241 10204
6/96 10692 10692 10921 10820
6/97 11428 11428 11822 11701
6/98 12277 12277 12846 12716
6/99 12371 12371 13200 12920
6/00 12593 12494 13630 13084
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus
Municipal Bond Fund prior to the acquisition by the One Group Tax-Free Bond Fund
on March 22, 1999. Prior to February 1, 1995, performance for the Class I shares
is based on Class A share performance adjusted to reflect the absence of sales
charges.
The performance of the Tax-Free Bond Fund is measured against the Lehman
Brothers Municipal Bond Index, an unmanaged index generally representative of
the municipal bond market as a whole. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B shares.
The Lipper General Municipal Debt Fund Index consists of funds that invest at
least 65% of its assets in municipal debt issues in the top four credit ratings.
8
<PAGE> 11
One Group Municipal Income Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Municipal Income Fund I share class
posted a total return of 0.32%. (For information on other share classes and
performance comparisons to indexes, please see pages 10-11.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
The major events influencing the municipal bond market over the past fiscal year
were much the same as those influencing the taxable bond market. In an effort to
slow down the U.S. economy and ward off inflationary pressures, the Federal
Reserve took on a restrictive posture. As rates moved up, bond markets weakened.
The specter of Y2K and a year of dropping bond prices led to a highly illiquid
market in the final months of 1999.
A relief rally surfaced after the new year and lasted for almost the entire
first quarter of 2000. Municipal bond prices firmed as the market easily
digested a light new-issue supply. But, the sell-off in the market in mid-April,
brought on by a still-growing economy, stifled any price gains realized in the
first quarter.
At the end of May, we saw a very resilient market turn on a dime as dealers
looked to fill the anticipated strong retail demand of June and July--typically
the biggest months for coupon payment, bond calls and bond maturities. This
rally led to yield declines across the curve.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
With interest rates generally on an upward course during the year, the Fund's
yield increased. As of June 30, 2000, the Fund's 30 day SEC yield on I shares
was 5.22%, compared to 4.97% on June 30, 1999. (For investors in the 39.6%
federal income tax bracket, the 5.22% tax-exempt yield translates to a
taxable-equivalent yield of 8.64%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
To keep the yield on the Fund attractive, we invested in intermediate- and
longer-maturity multi-family housing revenue bonds. At the time, these bonds
represented the best value in the market. But, when the Federal Reserve began
raising rates, we were a bit slow in selling off these bonds. As a result, the
Fund suffered losses from rising interest rates and a widening of the bid/ask
spread on the types of bonds the Fund was heavily invested in. We continue to
buy bonds in the housing sector, but we prefer to focus on shorter-duration,
higher-coupon housing bonds that have been the hallmark of the Fund since its
inception.
The Fund experienced net redemptions from late October through late April. This
made duration management more challenging than usual. (Duration is a measure of
a fund's sensitivity to interest rate changes. A longer duration indicates
greater sensitivity; a shorter duration indicates less.) With an illiquid market
in the last quarter of 1999 and the first quarter of 2000, we decided to
maintain a lower-than-normal duration by holding a higher-than-normal cash
balance. This strategy led to more stable price performance throughout the
volatile first half of 2000. In late May, as the market rallied from renewed
retail investor demand, we started extending duration using high-quality bonds.
This strategy enhanced performance during the fiscal year's final quarter. The
Fund ended the fiscal year with a duration of 6.0 years, compared to 6.7 years
on June 30, 1999.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's overall credit quality remained solid during the year. On June 30,
2000, 39% of the Fund was invested in "AAA"-rated securities, 25% in "AA," 19%
in "A," 6% in "BBB," and 12% in other and non-rated securities.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's action over the past year has led us to hold a
higher-than-normal cash balance and a shorter-than-normal average duration in
the Fund. With signs of a slowing economy, we believe the Federal Reserve may be
near the end of its tightening campaign. As such, we plan to continue our
efforts to move the Fund's duration closer to its average of 5.7 years through
the addition of high-quality, well-structured bonds. As always, we plan to focus
on municipal housing bonds, as they exhibit the defensive characteristics that
are the cornerstone of the Fund.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
9
<PAGE> 12
One Group Municipal Income Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/9/93)
<S> <C> <C> <C> <C>
Class I 0.32% 4.86% 4.76%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
CLASS I MUNICIPAL BOND INDEX MUNICIPAL FUND INDEX
------- ---------------------- --------------------
<S> <C> <C> <C>
2/93 10000 10000 10000
6/93 10303 10453 10439
6/94 10444 10585 10542
6/95 11118 11456 11255
6/96 11734 12090 11822
6/97 12613 12940 12627
6/98 13632 13889 13505
6/99 14049 14295 13802
6/00 14094 14865 14180
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/23/93)
<S> <C> <C> <C> <C>
Class A 0.06% 4.62% 4.50%
Class A* (4.45)% 3.65% 3.85%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
2/93 10000 9554 10000 10000
6/93 10242 9785 10142 10134
6/94 10379 9915 10270 10234
6/95 11023 10531 11115 10926
6/96 11612 11094 11730 11477
6/97 12453 11897 12555 12258
6/98 13429 12830 13476 13110
6/99 13805 13189 13870 13399
6/00 13814 13197 14423 13766
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C> <C>
Class B (0.58)% 3.92% 3.57%
Class B** (5.35)% 3.58% 3.57%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9802 9802 9724 9700
6/95 10349 10349 10524 10356
6/96 10830 10830 11107 10878
6/97 11539 11539 11887 11618
6/98 12352 12352 12760 12426
6/99 12616 12616 13133 12699
6/00 12543 12543 13656 13047
</TABLE>
10
<PAGE> 13
One Group Municipal Income Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C (0.59)% 3.68%
Class C** (1.54)% 3.68%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS C CLASS C** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
11/97 10000 10000 10000 10000
6/98 10827 10827 10394 10390
6/99 11070 11070 10697 10619
6/00 11005 11005 11124 10910
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Municipal Income Fund is measured against the Lehman
Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of investment
grade municipal bonds with maturities close to seven years. Investors are unable
to purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management fees. By
contrast, the performance of the Fund reflects the deduction of these services
as well as the deduction of sales charges on Class A shares and applicable
contingent deferred sales charges on Class B and Class C shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
11
<PAGE> 14
One Group Arizona Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Arizona Municipal Bond Fund I share
class posted a total return of 2.66%. (For information on other share classes
and performance comparisons to indexes, please see page 14.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
Overall, the municipal market was influenced negatively by the continuing
strength of the U.S. economy and the Federal Reserve's edict to be in front of
the inflation curve. The Federal Reserve increased the federal funds rate five
times in the past 12 months, pushing the federal funds rate 1.75 percentage
points higher to 6.50%. A positive factor for the government bond market was the
U.S. Treasury's buyback program of outstanding long-term bonds. This helped
create an inverted government yield curve, which reflects short-term rates that
are higher than long-term rates. The reduction of outstanding Treasury debt
effectively eliminated a measure of valuing municipals by comparing municipal
yields as a percentage of Treasury yields.
While the 30-year Treasury showed strength, all other markets, including the
municipal market, struggled. In addition, the municipal market had to absorb a
changing of the guard. In recent years, mutual funds and insurance companies
were the major buyers of municipal bonds. The historically flat municipal yield
curve substantially hurt the competitiveness of municipal funds versus
individual bonds. Furthermore, individual investors continued to favor the stock
market over all areas of the bond market.
In Arizona, the significant event was the continuing decline in bond issuance.
For calendar year 1999, new issuances of Arizona bonds declined 21% to $3.3
billion from $4.2 billion in 1998. Current projections for calendar 2000 are for
an issuance of $1.8 billion, a decline of 45% from 1999 levels and less than
half of the 1998 issuance. As projected, following passage of the Students First
legislation in 1998, school district financing is leading the drop. For the
first six months of 2000, issuance of school district bonds was approximately
$75 million. This compares to $448 million for all of 1999 and $627 million for
1998. To date, tepid demand has offset the decline in supply, but if demand for
income-oriented products increases, Arizona bonds could become difficult to
locate. At the end of June, 10-year insured Arizona bonds were yielding 5.10%,
and long-term yields were near 5.85%.
HOW DID THE FUND'S YIELD CHANGE?
The rising interest rate environment throughout most of the period helped push
the Fund's yield higher, from 3.99% on June 30, 1999, to 4.63% on June 30, 2000.
(For investors in the 39.6% federal income tax bracket and 5.2% Arizona state
bracket, the 4.63% tax-exempt yield translates into an 8.07% taxable-equivalent
yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We concentrated our trading activity on maintaining cash reserves to meet
liquidity needs. We also focused on lowering the Fund's duration from 6.7 years
on June 30, 1999, to a target average of 6 years. (Duration is a measure of a
fund's sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) The decline in duration helped
limit the Fund's volatility, but in hindsight, we would have achieved better
results with an even shorter duration target.
Throughout the year we maintained an emphasis on quality issues. More than 90%
of the Fund generally was invested in "AAA"-rated insured or "AA"-rated bonds.
Likewise, sector distributions did not change dramatically, with 40% of the
portfolio invested in general obligation bonds and 60% in revenue-specific
bonds. Moreover, we limited the Fund's participation in the health care sector
to hospital issues offering the added credit-quality enhancement of insurance.*
WHAT IS YOUR OUTLOOK FOR THE FUND?
Going forward, we remain cautiously optimistic on the market. Our caution stems
from a still-growing economy and possible inflationary pressures ahead. Our
optimism is based on the same growing economy, but one growing at a much slower
pace as the effect of higher interest rates takes hold.
As always, our goal is to increase the Fund's income with minimum risk to the
Fund's net asset value. We
12
<PAGE> 15
One Group Arizona Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
view the decline in Arizona bond issuance as helping and hindering this
endeavor. A decline in supply should increase value and improve the Fund's net
asset value. But, lower supply means a smaller selection of bonds as we attempt
to maintain and improve our income flow. Our strategy is to maintain the Fund's
intermediate maturity structure, continue purchasing quality credits, and
improve coupon and call protection of the Fund's holdings. We believe the Fund's
current duration is reasonable, but moving it slightly higher would improve
relative performance should interest rates level off or start to decline.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
13
<PAGE> 16
One Group Arizona Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C> <C>
Class I 2.66% 4.48% 5.92% 6.84%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<S> <C> <C> <C>
Lehman Brothers 7 Lipper Intermediate
Year Municipal Bond Municipal Fund
Class I Index Index
-------- ------------------- -------------------
6/90 10000 10000 10000
6/91 10805 10889 10828
6/92 11966 12079 11941
6/93 13127 13376 13122
6/94 13344 13546 13252
6/95 14272 14660 14148
6/96 14845 15472 14861
6/97 15929 16559 15873
6/98 16976 17775 16976
6/99 17305 18294 17350
6/00 17766 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C> <C>
Class A 2.43% 3.95% 5.52% 6.50%
Class A* (2.22)% 2.99% 5.03% 6.27%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 9549 10000 10000
6/91 10793 10306 10889 10828
6/92 11921 11383 12079 11941
6/93 13049 12460 13376 13122
6/94 13216 12620 13546 13252
6/95 14101 13464 14660 14148
6/96 14649 13988 15472 14861
6/97 15457 14759 16559 15873
6/98 16430 15688 17775 16976
6/99 16708 15954 18294 17350
6/00 17114 16341 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C> <C>
Class B 1.64% 2.62% 4.52% 5.65%
Class B** (3.21%) 2.25% 4.52% 5.65%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
6/91 10731 10731 10889 10828
6/92 11784 11784 12079 11941
6/93 12807 12807 13376 13122
6/94 12895 12895 13546 13252
6/95 13670 13670 14660 14148
6/96 14094 14094 15472 14861
6/97 14751 14751 16559 15873
6/98 15146 15146 17775 16976
6/99 15303 15303 18294 17350
6/00 15554 15554 19024 17825
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of a collective trust
fund for the period prior to the commencement of operations of the mutual fund
on January 20, 1997, adjusted to reflect the expenses associated with the Fund.
The collective trust fund was not registered under the Investment Company Act of
1940 ("1940 Act") and, therefore, was not subject to certain investment
restrictions, limitations and diversification requirements imposed by the 1940
Act and the Internal Revenue Code. If the collective trust fund had been
registered under the 1940 Act, its performance may have been adversely affected.
The performance of the Arizona Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
14
<PAGE> 17
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Kentucky Municipal Bond Fund I share
class posted a total return of 2.83%. (For information on other share classes
and performance comparisons to indexes, please see page 17.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
As expected, the municipal market took its cue from the Treasury market, and
ultimately the Federal Reserve. As such, the market came under price pressure
for most of the fiscal year, as interest rates generally moved upward. The
negative impact of the Federal Reserve's interest rate hikes was more than
enough to offset a number of positive factors that surfaced during the year. In
1998 the market experienced the second-highest year on record for new issuance.
But since then, the volume of new issuance has declined steadily to its current
pace that is 40% below that of 1998. In addition, the strong economy has helped
foster improvements in municipal credit ratings, with ratings upgrades outpacing
downgrades by a seven-to-one margin.
Nevertheless, these positive factors were not enough to prevent the municipal
market from underperforming the Treasury market. Declining supply, due to the
government surplus and the U.S. Treasury's buyback program of long-term debt,
and the occasional "flight to quality" caused Treasuries to outperform municipal
securities as well as agency and corporate bonds. We believe this pattern is not
likely to change any time soon, as the expected future surpluses should mean
more pay-down of debt.
HOW DID THE STATE'S ECONOMY FARE?
Kentucky registered another year of growth in 1999, as gains in the
transportation equipment and service sectors more than offset declines in the
state's more traditional industries, such as apparel, coal and tobacco. This
shift in production has been going on for the past decade and represents a
continuation of the strengthening of the larger metropolitan areas while the
small, rural segments struggle. The state's employment growth remained at the
same pace as the past few years, with the overall unemployment rate hovering
around the national average at 4.3%.
The adoption of strong budgetary practices earlier in the decade has helped
produce a balanced budget on a regular basis, with a stabilization fund equal to
4% of general fund revenues. The state is taking steps to increase this fund to
5%.
The near-term outlook points to a continuation in the trend of positive growth.
The areas of concern remain slow population growth and the weakening of the
state's traditional industries. The state's central geographic location and the
steps to diversify the economic base have helped and should continue to help
overcome these negatives.
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
over the 12-month period. The major contributor to performance was the Fund's
relatively high level of income, which offset the price depreciation and kept
the Fund's total return positive.
In response to the jump in tax-free interest rates over the fiscal year, the
Fund's 30 day SEC yield on I shares increased from 4.18% on June 30, 1999, to
4.61% on June 30, 2000. (For investors in the 39.6% federal income tax bracket
and the 6.0% Kentucky state bracket, the 4.61% tax-exempt yield translates into
an 8.12% taxable-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy continues to involve purchasing high-quality,
full-coupon, intermediate-maturity bonds exhibiting good call structures within
all sectors of the Kentucky market. (Call refers to a bond issuer's right to
repay, or "call," the bond prior to its maturity date.) This strategy is
designed to provide a good income stream while offering price protection when
interest rates rise.
Our strategy was put to the test during the past fiscal year, as the goal of
maintaining a high, steady stream of income conflicted with the goal of
maximizing total return. As interest rates increased, we initiated sales and
swaps to raise cash and shorten the Fund's duration. (Duration is a measure of a
fund's sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) These efforts were offset
partially by Fund redemp-
15
<PAGE> 18
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
tions (primarily as investors moved into equities or withdrew their assets to
meet tax obligations) and the upward migration of interest rates. Nevertheless,
the Fund's duration did decline enough--from 5.6 years on June 30, 1999, to 5.0
years on June 30, 2000--to help foster a relatively attractive total return
while maintaining a good income stream.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's average credit quality remained high during the fiscal year, with 84%
of the Fund invested in securities rated "AA" or better on June 30, 2000,
compared to 74% on June 30, 1999. This increase was due primarily to the Fund's
position in school building revenue bonds, which were upgraded from an "A"
rating to rating of "AA."
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's string of tightening moves over the past year finally
appears to be having the desired impact of slowing the economy. But, the current
expansion has displayed a remarkable level of resiliency. The chance of the
economy heating up again, coupled with the recent pick-up in the pace of
inflation, suggests that the Federal Reserve's job may not be over yet. This
translates into a market that may remain volatile and experience considerable
swings in sentiment over the near term. Our strategy in this environment will
continue to involve keeping a higher level of cash and controlling duration via
outright sales and swaps.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
16
<PAGE> 19
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/12/93)
<S> <C> <C> <C> <C>
Class I 2.83% 4.99% 4.67%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
MUNICIPAL BOND MUNICIPAL FUND
CLASS I INDEX INDEX
------- ---------------------- -------------------
<S> <C> <C> <C>
3/93 10000 10000 10000
6/93 10221 10142 10134
6/94 10250 10270 10234
6/95 10935 11115 10926
6/96 11630 11730 11477
6/97 12414 12555 12258
6/98 13296 13476 13110
6/99 13568 13870 13399
6/00 13953 14423 13766
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/12/93)
<S> <C> <C> <C> <C>
Class A 2.47% 4.64% 4.42%
Class A* (2.16)% 3.67% 3.77%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
3/93 10000 9551 10000 10000
6/93 10221 9763 10142 10134
6/94 10250 9790 10270 10234
6/95 10935 10444 11115 10926
6/96 11559 11040 11730 11477
6/97 12307 11754 12555 12258
6/98 13151 12560 13476 13110
6/99 13386 12785 13870 13399
6/00 13718 13102 14423 13766
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/16/95)
<S> <C> <C> <C> <C>
Class B 1.93% 4.01% 4.29%
Class B** (2.96)% 3.66% 4.14%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<S> <C> <C> <C> <C>
Lehman Brothers 7 Lipper Intermediate
Year Municipal Bond Municipal Fund
Class B Class B** Index Index
-------- ---------- ------------------ -------------------
3/95 10000 10000 10000 10000
6/95 10263 10263 10284 10225
6/96 10792 10792 10853 10740
6/97 11419 11419 11616 11472
6/98 12127 12127 12469 12269
6/99 12254 12254 12833 12539
6/00 12491 12391 13345 12883
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Trademark
Kentucky Municipal Bond Fund prior to the acquisition by the One Group Kentucky
Municipal Bond Fund on January 20, 1995. Prior to January 20, 1995, performance
for Class A shares is based on Class I share performance adjusted to reflect the
expenses and sales charges applicable to Class A shares.
The performance of the Kentucky Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
17
<PAGE> 20
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Louisiana Municipal Bond Fund I
share class posted a total return of 2.81%. (For information on other share
classes and performance comparisons to indexes, please see page 20.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
As expected, the municipal market took its cue from the Treasury market, and
ultimately the Federal Reserve. As such, the market came under price pressure
for most of the fiscal year, as interest rates generally moved upward. The
negative impact of the Federal Reserve's interest rate hikes was more than
enough to offset a number of positive factors that surfaced during the year. In
1998 the market experienced the second-highest year on record for new issuance.
But since then, the volume of new issuance has declined steadily to its current
pace that is 40% below that of 1998. In addition, the strong economy has helped
foster improvements in municipal credit ratings, with ratings upgrades outpacing
downgrades by a seven-to-one margin.
Nevertheless, these positive factors were not enough to prevent the municipal
market from underperforming the Treasury market. Declining supply, due to the
government surplus and the U.S. Treasury's buyback program of long-term debt,
and the occasional "flight to quality" caused Treasuries to outperform municipal
securities as well as agency and corporate bonds. We believe this pattern is not
likely to change any time soon, as the expected future surpluses should mean
more pay-down of debt.
HOW DID THE STATE'S ECONOMY FARE?
Louisiana continued to make slow, steady progress on the financial front. The
strength in the national economy, improvements in the state's financial process
and steps to diversify the overall economic base have had a positive influence
on the state's economic growth.
Nevertheless, these initiatives are being offset by the continued presence of
lingering problems. Notwithstanding the efforts to diversify the state's
economic base, the cyclical energy sector continues to dominate. In addition,
the state budgetary process has been redirected to better match revenues and
expenditures, with any surpluses used to pay down outstanding debt. As expected,
this has limited the amount of investment the state has made to compete in the
future.
The near-term outlook for Louisiana suggests a continuation of the slow, steady
pace of growth that has been experienced over the past few years. Debt levels
are being reduced and diversification is taking place, but the reliance on the
volatile energy sector will make progress uneven for the time being.
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
over the 12-month period. The major contributor to performance was the Fund's
relatively high level of income, which offset the price depreciation and kept
the Fund's total return positive.
In response to the jump in tax-free interest rates over the fiscal year, the
Fund's 30 day SEC yield on I shares increased from 4.24% on June 30, 1999, to
4.69% on June 30, 2000. (For investors in the 39.6% federal income tax bracket
and the 6.0% Louisiana state bracket, the 4.69% tax-exempt yield translates into
an 8.27% taxable-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Because our investment selections are limited to the state of Louisiana, we
consider bonds in all market sectors. Our primary investment strategy continues
to involve purchasing high-quality, full-coupon, intermediate-maturity bonds
with good call structures. (Call refers to a bond issuer's right to repay, or
"call," the bond prior to its maturity date.) This strategy is designed to
provide a good income stream while offering price protection when interest rates
rise.
This past fiscal year demonstrated that trying to generate a high, steady stream
of income while maintaining a stable net asset value can be challenging dual
goals. As interest rates increased, we initiated sales and swaps to raise cash
and shorten the Fund's duration, which moved from 6.2 years on June 30, 1999, to
5.5 years on June 30, 2000. (Duration is a measure of a fund's sensitivity to
interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) But these efforts were largely offset by Fund
redemptions (primarily as investors moved into
18
<PAGE> 21
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
equities or withdrew their assets to meet tax obligations) and the upward
migration of interest rates, which pushed duration to more than 6 years during
the third and fourth quarters of 1999. When all was said and done, the Fund's
duration did decline sufficiently to keep total return relatively attractive and
provide a good income stream.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's average credit quality remained high during the fiscal year, with 82%
of the Fund invested in securities rated "AA" or better on June 30, 2000,
slightly lower than 83% on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's string of tightening moves over the past year finally
appears to be having the desired impact of slowing the economy. But, the current
expansion has displayed a remarkable level of resiliency. The chance of the
economy heating up again, coupled with the recent pick-up in the pace of
inflation, suggests that the Federal Reserve's job may not be over yet. This
translates into a market that may remain volatile and experience considerable
swings in sentiment over the near term. Our strategy in this environment will
continue to involve keeping a higher level of cash and controlling duration via
outright sales and swaps.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
19
<PAGE> 22
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/29/89)
<S> <C> <C> <C> <C>
Class I 2.81% 4.69% 5.91% 5.95%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
CLASS I MUNICIPAL BOND INDEX MUNICIPAL FUND INDEX
------- ---------------------- --------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10821 10889 10828
6/92 11894 12079 11941
6/93 13109 13376 13122
6/94 13237 13546 13252
6/95 14115 14660 14148
6/96 14874 15472 14861
6/97 15889 16559 15873
6/98 16941 17775 16976
6/99 17267 18294 17350
6/00 17751 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/29/89)
<S> <C> <C> <C> <C>
Class A 2.55% 4.53% 5.83% 5.87%
Class A* (2.07)% 3.59% 5.34% 5.41%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER INTERMEDIATE
LEHMAN BROTHERS 7 MUNICIPAL FUND
CLASS A CLASS A* YEAR MUNICIPAL BOND INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 9552 10000 10000
6/91 10821 10337 10889 10828
6/92 11894 11362 12079 11941
6/93 13109 12522 13376 13122
6/94 13237 12644 13546 13252
6/95 14115 13483 14660 14148
6/96 14913 14245 15472 14861
6/97 15889 15178 16559 15873
6/98 16898 16142 17775 16976
6/99 17180 16411 18294 17350
6/00 17619 16830 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/16/94)
<S> <C> <C> <C>
Class B 1.89% 3.82% 4.14%
Class B** (3.00)% 3.47% 4.00%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
9/94 10000 10000 10000 10000
6/95 10487 10487 10720 10613
6/96 10972 10972 11313 11148
6/97 11615 11615 12108 11907
6/98 12276 12276 12997 12735
6/99 12413 12413 13377 13015
6/00 12647 12547 13910 13371
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Paragon
Louisiana Tax-Free Fund for the period before it was acquired by the One Group
Louisiana Municipal Bond Fund on March 26, 1996. Prior to March 26, 1996,
performance for the Class I shares is based on Class A share performance
adjusted to reflect the absence of sales charges.
The performance of the Louisiana Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
20
<PAGE> 23
One Group Michigan Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Michigan Municipal Bond Fund I share
class posted a total return of 1.28%. (For information on other share classes
and performance comparisons to indexes, please see page 23.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
As expected, the municipal market took its cue from the Treasury market, and
ultimately the Federal Reserve. As such, the market came under price pressure
for most of the fiscal year, as interest rates generally moved upward. The
negative impact of the Federal Reserve's interest rate hikes was more than
enough to offset a number of positive factors that surfaced during the year. In
1998 the market experienced the second-highest year on record for new issuance.
But since then, the volume of new issuance has declined steadily to its current
pace that is 40% below that of 1998. In addition, the strong economy has helped
foster improvements in municipal credit ratings, with ratings upgrades outpacing
downgrades by a seven-to-one margin.
Nevertheless, these positive factors were not enough to prevent the municipal
market from underperforming the Treasury market. Declining supply, due to the
government surplus and the U.S. Treasury's buyback program of long-term debt,
and the occasional "flight to quality" caused Treasuries to outperform municipal
securities as well as agency and corporate bonds. We believe this pattern is not
likely to change any time soon, as the expected future surpluses should mean
more pay-down of debt.
HOW DID THE STATE'S ECONOMY FARE?
The Michigan economy, the nation's eighth largest, remained strong during the
fiscal year. The budgetary restraint measures enacted to address imbalances in
the early 1990s, coupled with the large manufacturing presence, have helped the
state post a string of budget surpluses and replenish reserves that were
depleted during the prior downturn. This growth further aided in the increase in
the state's stabilization fund to 6.6% of general fund expenditures--nearly 50%
higher than just five years ago.
A further indication of the strength of the state's economy is the fact that
employment growth has been outstripping the national average. This has led to
the lowest unemployment rate in a decade and, at 3.7%, one of the lowest in the
nation.
The near-term outlook points to a continuation of solid economic growth. The
large manufacturing presence (25% of the state economic base) does inject a
level of volatility. But, a number of measures to invest in both technology and
education along with steps to diversify the state's economic base should help
Michigan reduce and withstand the impact of any future downturn in
manufacturing.
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
over the 12-month period. The major contributor to performance was the Fund's
relatively high level of income, which offset the price depreciation and kept
the Fund's total return positive.
In response to the jump in tax-free interest rates over the fiscal year, the
Fund's 30 day SEC yield on I shares increased from 4.52% on June 30, 1999, to
4.86% on June 30, 2000. (For investors in the 39.6% federal income tax bracket
and the 4.3% Michigan state bracket, the 4.86% tax-exempt yield translates into
an 8.44% taxable-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
With our investment selections limited to municipal bonds issued in the state of
Michigan, we evaluate securities in all market sectors. Our primary investment
strategy continues to involve purchasing high-quality, full-coupon,
intermediate-maturity bonds with good call structures. (Call refers to a bond
issuer's right to repay, or "call," the bond prior to its maturity date.) This
strategy is designed to provide a good income stream while offering price
protection when interest rates rise.
This past fiscal year put our ongoing strategy to test, as the market
environment made it difficult to maintain a high stream of income and maximize
total return at the same time. With interest rates on the upswing, we initiated
sales and swaps to raise cash and shorten the Fund's duration, which moved from
7.7 years on
21
<PAGE> 24
One Group Michigan Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
June 30, 1999, to 7.0 years on June 30, 2000. (Duration is a measure of a fund's
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) But these efforts were largely
offset by Fund redemptions (primarily as investors moved into equities or
withdrew their assets to meet tax obligations) and the upward migration of
interest rates. These factors contributed to the Fund's price depreciation
during the year.
When all was said and done, the Fund's duration did decline sufficiently to keep
total return on the positive side while providing a good income stream.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's average credit quality remained high during the fiscal year, with 89%
of the Fund invested in securities rated "AA" or better on June 30, 2000,
slightly higher than 86% on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's string of tightening moves over the past year finally
appears to be having the desired impact of slowing the economy. But, the current
expansion has displayed a remarkable level of resiliency. The chance of the
economy heating up again, coupled with the recent pick-up in the pace of
inflation, suggests that the Federal Reserve's job may not be over yet. This
translates into a market that may remain volatile and experience considerable
swings in sentiment over the near term. Our strategy in this environment will
continue to involve keeping a higher level of cash and controlling duration via
outright sales and swaps.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
22
<PAGE> 25
One Group Michigan Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C> <C>
Class I 1.28% 5.02% 5.21%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LEHMAN BROTHERS LIPPER MICHIGAN
YEAR MUNICIPAL BOND MICHIGAN MUNICIPAL MUNICIPAL DEBT FUND
CLASS I INDEX BOND INDEX INDEX
------- ------------------- ------------------ -------------------
<S> <C> <C> <C> <C>
2/93 10000 10000 10000 10000
6/93 10529 10142 10504 10576
6/94 10518 10270 10513 10582
6/95 11403 11115 11496 11322
6/96 12050 11730 12304 11991
6/97 13003 12555 13339 12888
6/98 14139 13476 14524 13897
6/99 14386 13870 14885 14109
6/00 14570 14423 15332 14286
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C> <C>
Class A 0.93% 4.81% 5.07%
Class A* (3.60)% 3.85% 4.42%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
LEHMAN BROTHERS MICHIGAN LIPPER MICHIGAN
7 YEAR MUNICIPAL MUNICIPAL BOND MUNICIPAL DEBT
C CLASS A CLASS A* BOND INDEX INDEX FUND INDEX
- ------- -------- ---------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
2/93 10000 9551 10000 10000 10000
6/93 10529 10056 10142 10504 10576
6/94 10518 10046 10270 10513 10582
6/95 11403 10891 11115 11496 11322
6/96 12050 11509 11730 12304 11991
6/97 12984 12401 12555 13339 12888
6/98 14068 13437 13476 14524 13897
6/99 14290 13648 13870 14885 14109
6/00 14423 13775 14423 15332 14286
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C> <C>
Class B 0.51% 4.26% 4.70%
Class B** (4.30)% 3.92% 4.70%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
LEHMAN BROTHERS MICHIGAN LIPPER MICHIGAN
7 YEAR MUNICIPAL MUNICIPAL BOND MUNICIPAL DEBT
CLASS B CLASS B** BOND INDEX INDEX FUND INDEX
------- --------- ---------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
2/93 10000 10000 10000 10000 10000
6/93 10539 10539 10142 10504 10576
6/94 10526 10526 10270 10513 10582
6/95 11408 11408 11115 11496 11322
6/96 12056 12056 11730 12304 11991
6/97 12871 12871 12555 13339 12888
6/98 13869 13869 13476 14524 13897
6/99 13980 13980 13870 14885 14109
6/00 14052 14052 14423 15332 14286
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus
Michigan Municipal Bond Fund for the period prior to the acquisition by the One
Group Michigan Municipal Bond Fund on March 22, 1999.
The performance of the Michigan Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lehman Brothers Michigan Municipal Bond Index is an unmanaged index
generally representative of the Michigan Municipal bond market.
The Lipper Michigan Municipal Debt Fund Index is comprised of funds that limit
their assets to those securities that are exempt from taxation in a specified
state (double tax-exempt) or city (triple tax-exempt).
The Lehman Brothers Michigan Municipal Bond Index consists of the average
monthly returns of the Lehman Brothers 7-Year Municipal Bond Index for periods
prior to April 1993. Thereafter, the data is from the Lehman Brothers Michigan
Municipal Bond Index, which corresponds with the initiation of the Lehman
Brothers Michigan Municipal Bond Index on April 1, 1993.
23
<PAGE> 26
One Group Ohio Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Ohio Municipal Bond Fund I share
class posted a total return of 2.20%. (For information on other share classes
and performance comparisons to indexes, please see page 26.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
As expected, the municipal market took its cue from the Treasury market, and
ultimately the Federal Reserve. As such, the market came under price pressure
for most of the fiscal year, as interest rates generally moved upward. The
negative impact of the Federal Reserve's interest rate hikes was more than
enough to offset a number of positive factors that surfaced during the year. In
1998 the market experienced the second-highest year on record for new issuance.
But since then, the volume of new issuance has declined steadily to its current
pace that is 40% below that of 1998. In addition, the strong economy has helped
foster improvements in municipal credit ratings, with ratings upgrades outpacing
downgrades by a seven-to-one margin.
Nevertheless, these positive factors were not enough to prevent the municipal
market from underperforming the Treasury market. Declining supply, due to the
government surplus and the U.S. Treasury's buyback program of long-term debt,
and the occasional "flight to quality" caused Treasuries to outperform municipal
securities as well as agency and corporate bonds. We believe this pattern is not
likely to change any time soon, as the expected future surpluses should mean
more pay-down of debt.
HOW DID OHIO'S ECONOMY FARE?
The Ohio economy remained strong during the fiscal year, with revenues and
expenditures having positive influences on the state's budget. General revenue
fund balances were high enough not only to keep the budget stabilization fund at
its targeted level (5% of the general revenue fund), but also to fund various
reserves for such areas as school building and technology. This performance was
the result of the state's strong industrial base as well as its growing service
and trade sectors. This growth helped keep the state's unemployment rate down
near the 4% national average.
Looking forward, the sizeable "rainy day fund" coupled with the past and
continuing efforts to diversify the state's economic base away from
manufacturing into the service and trade sectors should help position the state
to better ride out future cyclical fluctuations. The major challenge over the
near-term remains the development of a new school funding structure. Reserves
are presently being set aside, however, the final structure has not been
determined. The final cost, nevertheless, is presently projected to be
manageable without the need for major draconian measures.
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
over the 12-month period. The major contributor to performance was the Fund's
relatively high level of income, which offset the price depreciation and kept
the Fund's total return positive.
In response to the jump in tax-free interest rates over the fiscal year, the
Fund's 30 day SEC yield on I shares increased from 4.35% on June 30, 1999, to
4.83% on June 30, 2000. (For investors in the 39.6% federal income tax bracket
and the 7.5% Ohio state bracket, the 4.83% tax-exempt yield translates into an
8.65% taxable-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
With our universe of securities limited to the state of Ohio, we consider
municipal bonds in all market
sectors. Our primary investment strategy continues to
involve purchasing high-quality, full-coupon, intermediate-maturity bonds with
good call structures. (Call refers to a bond issuer's right to repay, or "call,"
the bond prior to its maturity date.) This strategy is designed to provide a
good income stream while offering price protection when interest rates rise.
This past fiscal year demonstrated that trying to generate a high, steady stream
of income and maintain a stable net asset value are not always complimentary
goals. We initiated sales and swaps to raise cash and shorten the Fund's
duration as interest rates increased. (Duration is a measure of a fund's
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) Nevertheless, these efforts
were largely offset by 24
<PAGE> 27
One Group Ohio Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Fund redemptions (primarily as investors moved into equities or withdrew their
assets to meet tax obligations) and the upward migration of interest rates.
These factors kept the Fund's duration at a higher-than-desired level, putting
downward pressure on returns. Stepping up the pace of our security sales would
have lowered duration more, but it also would have brought about a more volatile
income stream for shareholders. With interest rates settling into a trading
range over the last few months of the fiscal year, we determined that a slow
ratcheting-down of duration would be preferable to a large, one-time move based
on the potential impact on income.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's average credit quality remained high during the fiscal year, with 67%
of the Fund invested in securities rated "AAA."
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's string of tightening moves over the past year finally
appears to be having the desired impact of slowing the economy. But, the current
expansion has displayed a remarkable level of resiliency. The chance of the
economy heating up again, coupled with the recent pick-up in the pace of
inflation, suggests that the Federal Reserve's job may not be over yet. This
translates into a market that may remain volatile and experience considerable
swings in sentiment over the near term. Our strategy in this environment will
continue to involve keeping a higher level of cash and controlling duration via
outright sales and swaps.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
25
<PAGE> 28
One Group Ohio Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/2/91)
<S> <C> <C> <C> <C>
Class I 2.20% 4.79% 5.75%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
CLASS I MUNICIPAL BOND INDEX MUNICIPAL FUND INDEX
------- ---------------------- --------------------
<S> <C> <C> <C>
7/91 10000 10000 10000
6/92 11061 11093 11028
6/93 12325 12285 12119
6/94 12334 12440 12239
6/95 13083 13464 13066
6/96 13827 14209 13725
6/97 14825 15208 14659
6/98 15883 16324 15678
6/99 16176 16801 16023
6/00 16532 17471 16462
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C> <C>
Class A 1.94% 4.53% 5.20%
Class A* (2.66)% 3.58% 4.61%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<S> <C> <C> <C> <C>
Lehman Brothers 7 Lipper Intermediate
Year Municipal Bond Municipal Fund
Class A Class A* Index Index
-------- --------- ------------------- -------------------
2/92 10000 9546 10000 10000
6/92 10393 9921 10319 10311
6/93 11577 11051 11428 11331
6/94 11572 11046 11572 11443
6/95 12242 11686 12525 12216
6/96 12908 12322 13218 12832
6/97 13805 13178 14147 13706
6/98 14753 14083 15185 14659
6/99 14987 14306 15629 14981
6/00 15278 14584 16252 15392
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C> <C>
Class B 1.17% 3.86% 3.13%
Class B** (3.68)% 3.52% 3.13%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9598 9598 9724 9700
6/95 10095 10095 10524 10356
6/96 10578 10578 11107 10878
6/97 11241 11241 11887 11618
6/98 11938 11938 12760 12426
6/99 12059 12059 13133 12699
6/00 12200 12200 13656 13047
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Ohio Municipal Bond Fund is measured against the Lehman
Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of investment
grade municipal bonds with maturities close to seven years. Investors are unable
to purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management fees. By
contrast, the performance of the Fund reflects the deduction of these services
as well as the deduction of sales charges on Class A shares and applicable
contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
26
<PAGE> 29
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group West Virginia Municipal Bond Fund I
share class posted a total return of 2.76%. (For information on other share
classes and performance comparisons to indexes, please see page 29.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
As expected, the municipal market took its cue from the Treasury market, and
ultimately the Federal Reserve. As such, the market came under price pressure
for most of the fiscal year, as interest rates generally moved upward. The
negative impact of the Federal Reserve's interest rate hikes was more than
enough to offset a number of positive factors that surfaced during the year. In
1998 the market experienced the second-highest year on record for new issuance.
But since then, the volume of new issuance has declined steadily to its current
pace that is 40% below that of 1998. In addition, the strong economy has helped
foster improvements in municipal credit ratings, with ratings upgrades outpacing
downgrades by a seven-to-one margin.
Nevertheless, these positive factors were not enough to prevent the municipal
market from underperforming the Treasury market. Declining supply, due to the
government surplus and the U.S. Treasury's buyback program of long-term debt,
and the occasional "flight to quality" caused Treasuries to outperform municipal
securities as well as agency and corporate bonds. We believe this pattern is not
likely to change any time soon, as the expected future surpluses should mean
more pay-down of debt.
HOW DID THE STATE'S ECONOMY FARE?
West Virginia continues to make progress in moving from one of the nation's
weakest states a decade ago to one on solid fiscal ground. The major factors
leading to this transformation have been a strong national economy, state
budgetary reforms and a diversification of the state's economic base from the
cyclical mining and metals industries to the more stable service sector.
The state posted another operating surplus this past fiscal year while building
its "rainy day" fund to 6% of general fund disbursements. This performance was
accompanied by another year of slow but steady growth in employment. While still
high by national standards, the level of unemployment continued to fall, and it
currently is at its lowest level in 20 years.
The near-term outlook points to continued modest growth, as long as the national
economy keeps moving forward. The state's low cost base plus its central
location are positives. But, West Virginia still possesses a number of
weaknesses that stifle its progress, namely a slow-growing and aging population,
low educational achievements and a lack of broad economic diversity. The state
is addressing these issues, but resolving them obviously will take time.
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
over the 12-month period. The major contributor to performance was the Fund's
relatively high level of income, which offset the price depreciation and kept
the Fund's total return positive.
In response to the jump in tax-free interest rates over the fiscal year, the
Fund's 30 day SEC yield on I shares increased from 4.29% on June 30, 1999, to
4.83% on June 30, 2000. (For investors in the 39.6% federal income tax bracket
and the 6.5% West Virginia state bracket, the 4.83% tax-exempt yield translates
into an 8.55% taxable-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Because our investment selections are limited to the state of West Virginia, we
consider bonds in all market sectors. Our primary investment strategy continues
to involve purchasing high-quality, full-coupon, intermediate-maturity bonds
with good call structures. (Call refers to a bond issuer's right to repay, or
"call," the bond prior to its maturity date.) This strategy is designed to
provide a good income stream while offering price protection when interest rates
rise.
This past fiscal year demonstrated that trying to generate a high, steady stream
of income while maintaining a stable net asset value can be challenging dual
goals. As interest rates increased, we initiated sales and swaps to raise cash
and shorten the Fund's duration, which moved from 6.4 years on June 30, 1999, to
5.8 years on June 30, 2000. (Duration is a measure of a
27
<PAGE> 30
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
fund's sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) But these efforts were largely
offset by Fund redemptions (primarily as investors moved into equities or
withdrew their assets to meet tax obligations) and the upward migration of
interest rates, which pushed duration to more than 6 years during the third and
fourth quarters of 1999. When all was said and done, the Fund's duration did
decline sufficiently to keep total return relatively attractive and provide a
good income stream.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?*
The Fund's average credit quality remained high during the fiscal year, with 82%
of the Fund invested in securities rated "AA" or better on June 30, 2000,
slightly lower than 83% on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve's string of tightening moves over the past year finally
appears to be having the desired impact of slowing the economy. But, the current
expansion has displayed a remarkable level of resiliency. The chance of the
economy heating up again, coupled with the recent pick-up in the pace of
inflation, suggests that the Federal Reserve's job may not be over yet. This
translates into a market that may remain volatile and experience considerable
swings in sentiment over the near term. Our strategy in this environment will
continue to involve keeping a higher level of cash and controlling duration via
outright sales and swaps.
/s/ Patrick M. Morrissey
Patrick Morrissey
Team Leader, Municipal Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
28
<PAGE> 31
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C> <C>
Class I 2.76% 4.73% 5.67% 6.75%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 YEAR LIPPER INTERMEDIATE
CLASS I MUNICIPAL BOND INDEX MUNICIPAL FUND INDEX
------- ---------------------- --------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10752 10889 10828
6/92 11684 12079 11941
6/93 12632 13376 13122
6/94 13038 13546 13252
6/95 13774 14660 14148
6/96 14406 15472 14861
6/97 15469 16559 15873
6/98 16609 17775 16976
6/99 16893 18294 17350
6/00 17359 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C> <C>
Class A 2.59% 4.53% 5.43% 6.51%
Class A* (2.00)% 3.58% 4.94% 6.22%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS A CLASS A* INDEX INDEX
------- -------- ------------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 9548 10000 10000
6/91 10725 10240 10889 10828
6/92 11627 11102 12079 11941
6/93 12530 11963 13376 13122
6/94 12899 12316 13546 13252
6/95 13595 12980 14660 14148
6/96 14186 13545 15472 14861
6/97 15248 14559 16559 15873
6/98 16314 15576 17775 16976
6/99 16536 15789 18294 17350
6/00 16964 16198 19024 17825
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C> <C>
Class B 1.82% 3.88% 4.76% 5.83%
Class B** (3.06)% 3.54% 4.76% 5.83%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
YEAR MUNICIPAL BOND MUNICIPAL FUND
CLASS B CLASS B** INDEX INDEX
------- --------- ------------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
6/91 10667 10667 10889 10828
6/92 11489 11489 12079 11941
6/93 12298 12298 13376 13122
6/94 12582 12582 13546 13252
6/95 13163 13163 14660 14148
6/96 13660 13660 15472 14861
6/97 14559 14559 16559 15873
6/98 15516 15516 17775 16976
6/99 15640 15640 18294 17350
6/00 15925 15925 19024 17825
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of a collective trust
fund for the period prior to the commencement of operations of the mutual fund
on January 20, 1997, adjusted to reflect the expenses associated with the Fund.
The collective trust fund was not registered under the Investment Company Act of
1940 ("1940 Act") and, therefore, was not subject to certain investment
restrictions, limitations and diversification requirements imposed by the 1940
Act and the Internal Revenue Code. If the collective trust fund had been
registered under the 1940 Act, its performance may have been adversely affected.
The performance of the West Virginia Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B shares.
The Lipper Intermediate Municipal Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
29
<PAGE> 32
One Group Mutual Funds
Short-Term Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (74.9%):
Alabama (1.6%):
$ 2,000 Dothan Industrial Development Board,
4.60%, 10/1/02, Callable 6/1/01 @
103, LOC: First Union National
Bank............................... $ 1,965
--------
Arizona (2.2%):
300 Maricopa County School District #11,
Peoria, GO, 0.00%, 1/1/02, FGIC.... 279
185 Maricopa County School District #79,
Litchfield Elementary, Project 98,
Series A, GO, 4.50%, 7/1/01, FSA... 185
110 Sedona, Certificates of
Participation, 6.30%, 7/1/00....... 110
105 Sedona, Certificates of
Participation, 6.25%, 7/1/01....... 106
2,000 State Transportation Board, Excise
Tax Revenue, Maricopa County,
4.60%, 7/1/04, AMBAC............... 1,989
--------
2,669
--------
Arkansas (4.5%):
150 Conway Hospital Revenue, Series A,
4.50%, 8/1/01...................... 149
250 Conway Hospital Revenue, Series A,
4.70%, 8/1/02...................... 246
285 Conway Hospital Revenue, Series A,
4.90%, 8/1/03...................... 279
260 Conway Hospital Revenue, Series A,
4.90%, 8/1/03...................... 254
260 Conway Hospital Revenue, Series B,
4.50%, 8/1/01...................... 258
270 Conway Hospital Revenue, Series B,
4.70%, 8/1/02...................... 266
3,875 State Development Authority, Single
Family Mortgage Revenue, 6.50%,
2/1/11, Callable 10/1/07 @ 103..... 3,949
--------
5,401
--------
California (1.5%):
1,400 Palm Springs Housing Authority,
Multi-Family Revenue, Housing
Mortgage-Tahquitz Court
Apartments-A, 4.90%, 9/1/23,
Mandatory Put 9/1/02 @ 100......... 1,394
400 San Diego County, Certificates of
Participation, 4.70%, 9/1/02....... 396
--------
1,790
--------
Colorado (9.9%):
1,770 Denver City & County, Airport
Revenue, AMT, 6.75%, 11/15/13,
Callable 11/15/02 @ 102, MBIA...... 1,862
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 405 Denver City & County, Water Revenue,
6.60%, 11/15/06, Callable 11/15/01
@ 101.............................. $ 419
1,250 El Paso County School District #20,
5.00%, 12/15/02.................... 1,262
2,700 Health Facilities Authority Revenue,
West Regional Mental Hospital,
4.30%, 6/1/18, Mandatory Tender
7/15/01 @ 100...................... 2,658
1,360 Housing Finance Authority, 6.80%,
8/1/14, Callable 8/1/02 @ 102...... 1,440
4,000 Meridian Metropolitan District,
7.50%, 12/1/11, Callable 12/1/01 @
101................................ 4,156
--------
11,797
--------
Delaware (2.1%):
2,625 Clipper Caraval Tax-Exempt Certified
Trust, Series 98-1, 4.50%, 10/6/05,
AMBAC.............................. 2,558
--------
District of Columbia (2.1%):
1,675 Housing Finance Agency, Mulit-Family
Housing Revenue, 5.60%, 12/1/42,
Mandatory Put 8/10/00 @ 100........ 1,676
810 Housing Finance Agency, Multi-Family
Housing Revenue, Haven House
Cooperative Project, Series B, AMT,
5.55%, 12/1/22..................... 812
--------
2,488
--------
Florida (2.4%):
2,750 Hillsborough County Hospital
Authority, 6.38%, 10/1/13,
Reference-Tampa General Hospital
Project, Callable 10/1/02 @ 102.... 2,878
--------
Georgia (2.2%):
140 Fulton County Residential Care
Facilities, Canterbury Court
Project, 4.25%, 10/1/00............ 141
200 Fulton County Residential Care
Facilities, Canterbury Court
Project, 4.80%, 10/1/02............ 206
215 Fulton County Residential Care
Facilities, Canterbury Court
Project, 4.95%, 10/1/03............ 222
2,135 Savannah Economic Development
Revenue, College of Art & Design,
Inc. Project, 6.00%, 10/1/03....... 2,137
--------
2,706
--------
</TABLE>
Continued
30
<PAGE> 33
One Group Mutual Funds
Short-Term Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Idaho (2.1%):
$ 1,500 Student Loan Educational Marketing
Association, Inc., Student Loan
Revenue, Series C, AMT, 5.00%,
10/1/01, GSL....................... $ 1,488
1,025 Student Loan Fund, 5.41%, 4/1/02..... 1,011
--------
2,499
--------
Illinois (2.4%):
705 Decatur Economic Development Revenue,
7.75%, 6/1/07, Callable 6/1/02 @
102................................ 739
2,000 Southwestern Development Authority,
Medical Facility Revenue, 7.00%,
8/15/12, Prerefunded 8/15/02 @
102................................ 2,121
--------
2,860
--------
Iowa (2.8%):
2,300 Student Loan Liquidity Corp., Student
Loan Revenue, 6.75%, 12/1/01,
Callable 12/01/00 @ 102, AMBAC..... 2,362
1,000 Student Loan Liquidity Corp., Series
A, 6.45%, 3/1/02................... 1,025
--------
3,387
--------
Kentucky (0.9%):
1,000 Winchester Industrial Building
Revenue, 7.75%, 7/1/12, Callable
7/1/02 @ 102....................... 1,050
--------
Louisiana (1.4%):
750 Jefferson Parish Hospital Service
District #1, Hospital Revenue, West
Jefferson Medical Center, Series A,
4.00%, 1/1/03, FSA................. 727
1,000 Jefferson Parish Hospital Service
District #2, Hospital Revenue,
4.00%, 7/1/02, FSA................. 978
--------
1,705
--------
Michigan (2.3%):
2,185 Dickinson County Economic Revenue,
Refunding Champion International,
6.55%, 3/1/07, Callable 7/29/00 @
102................................ 2,230
600 Higher Education Facilities
Authority, Revenue, Refunding
Limited Obligation, Thomas M.
Cooley, 4.45%, 5/1/03, LOC: First
of America Bank.................... 585
--------
2,815
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Mississippi (0.0%):
$ 55 Region IV Finance Corp., Mortgage
Revenue, Greentree Apartments,
Series C, 6.88%, 8/1/02............ $ 55
--------
Nevada (1.4%):
675 Clark County Highway Improvements,
Revenue, Motor Vehicle Fuel Tax
Public Improvements, 5.00%, 7/1/02,
AMBAC.............................. 680
1,000 Municipal Bond Project #20-23-A, GO,
7.00%, 7/1/01, ETM................. 1,010
--------
1,690
--------
New York (3.9%):
4,750 Kiryas Joel Housing Authority,
Housing-Kiryas Timurim Project,
6.50%, 7/1/32, Putable 12/31/00 @
100................................ 4,750
--------
Ohio (14.2%):
230 Capital Corp. for Housing Mortgage,
6.75%, 2/1/03...................... 232
500 Capital Corp. for Housing Mortgage,
Revenue, Bella Vista, Series G,
7.25%, 2/1/02...................... 501
570 Capital Corp. for Housing Mortgage,
Revenue, Section 8 Series O, 6.75%,
2/1/05, FHA........................ 569
1,000 Cincinnati, City School District, GO,
5.50%, 12/1/02..................... 1,018
1,000 Cincinnati, City School District, GO,
5.50%, 12/1/03..................... 1,022
3,000 Franklin County Development Revenue,
Reference-American Chemical Society
Project, 5.75%, 4/1/01............. 3,019
1,030 Lorain County Health Facilities,
Catholic Healthcare Partners,
Series A, Revenue, 4.40%, 9/1/02,
AMBAC.............................. 1,023
1,605 Mount Vernon, IDR, Rogate Industries,
5.90%, 3/1/03, Callable 3/1/01 @
100................................ 1,605
2,350 State Air Quality Development
Authority, Revenue, 6.85%, 4/1/10,
Callable 4/1/01 @ 102.............. 2,427
3,000 State Building Authority, Revenue,
Refunding, State Correctional
Facilities, Series A, 4.50%,
10/1/02............................ 2,994
2,470 State Economic Development Revenue,
7.50%, 9/1/10, Callable 9/1/02 @
102................................ 2,586
--------
16,996
--------
</TABLE>
Continued
31
<PAGE> 34
One Group Mutual Funds
Short-Term Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oklahoma (0.4%):
$ 500 Grady County, Individual Authority,
Correctional Facilities, 5.00%,
11/1/04, MBIA...................... $ 501
--------
Oregon (2.7%):
1,900 Cow Creek Bank, Umpqua Tribe of
Indians, Revenue, Series B, 4.25%,
7/1/03, AMBAC...................... 1,862
1,400 Kaiser Permanente, 6.50%, 4/1/11,
Callable 4/1/01 @ 102.............. 1,421
--------
3,283
--------
Texas (3.6%):
950 Fort Bend County Industrial
Development Corp., 4.65%,
10/1/11............................ 942
1,000 Lewisville Combination Contract
Revenue, 4.90%, 11/1/02............ 986
1,285 State Department of Housing &
Community Affairs, Single Family
Revenue, Series E, 4.90%, 3/1/02... 1,284
1,150 State Department of Housing &
Community Affairs, Single Family
Revenue, Series E, 5.00%, 3/1/03... 1,149
--------
4,361
--------
Utah (2.8%):
1,060 Alpine, School District, GO, 5.40%,
3/15/04, Callable 3/15/02 @ 100.... 1,071
2,700 Associated Municipal Power Systems
Revenue, Capital Apprecation,
Hunter Project, 0.00%, 7/1/03,
AMBAC.............................. 2,326
--------
3,397
--------
Vermont (1.1%):
1,290 University Vermont & State
Agricultural College Housing,
Dining & Student Services, Series
1973A, 5.80%, 7/1/13, Callable
7/2/00 @ 100....................... 1,293
--------
Virgin Islands (1.6%):
610 University Virgin Islands, Refunding
& Improvement-Series A, 4.65%,
12/1/01............................ 610
650 University Virgin Islands, Refunding
& Improvement-Series A, 4.75%,
12/1/02............................ 649
240 University Virgin Islands, Refunding
& Improvement-Series A, 4.85%,
12/1/03............................ 239
385 University Virgin Islands, Refunding
& Improvement-Series A, 5.05%,
12/1/05............................ 385
--------
1,883
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington (2.8%):
$ 770 State Public Power Supply, Energy
Northwest Nuclear Project, 7.20%,
7/1/03, Callable 1/1/01 @ 102...... $ 795
2,500 State Public Power Supply, Nuclear
Project #3, 7.38%, 7/1/04, Callable
1/1/01 @ 102....................... 2,579
--------
3,374
--------
Total Municipal Bonds 90,151
--------
DAILY DEMAND NOTES (3.7%):
Maryland (2.5%):
3,105 Prince Georges County Housing
Authority, Single Family Mortgage
Revenue, 6.35%, 6/1/33*............ 3,105
--------
Texas (1.2%):
538 Dallas County, Housing Finance Corp.,
Single Family Mortgage Revenue,
5.99%, 11/25/04*................... 538
871 Denton County, Housing Finance Corp.,
Single Family Mortgage Revenue,
6.32%, 5/1/05*..................... 871
--------
1,409
--------
Total Daily Demand Notes 4,514
--------
WEEKLY DEMAND NOTES (17.2%):
Illinois (15.1%):
6,300 Health Facilities Authority, Revenue,
Northwest Community Hospital,
4.80%, 7/1/27*..................... 6,300
2,000 Huntley, IDR, 5.05%, 7/1/24*......... 2,000
10,000 Lakemoor Ill, Multi-Family Housing,
5.40%, 12/1/20*.................... 10,000
--------
18,300
--------
Maine (0.4%):
480 Regional Waste Systems, Inc., Solid
Waste Residence Recovery Revenue,
4.95%, 7/1/12*..................... 480
--------
Ohio (1.7%):
2,000 Toledo, Lucas County, Toledo Museum
of Art Project, 4.75%, 9/1/19*..... 2,000
--------
Total Weekly Demand Notes 20,780
--------
</TABLE>
Continued
32
<PAGE> 35
One Group Mutual Funds
Short-Term Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MONTHLY DEMAND NOTES (2.5%):
Arizona (1.7%):
$ 2,065 Pima County, IDA, Single Family
Mortgage Revenue, 5.51%, 6/1/28*... $ 2,065
--------
Texas (0.8%):
922 El Paso, Housing Finance Corp.,
Mortgage Revenue, AMT, 5.99%,
5/1/01*............................ 922
--------
Total Monthly Demand Notes 2,987
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (0.7%):
871 Provident Municipal Cash Fund........ $ 871
--------
Total Investment Companies 871
--------
Total (Cost $119,602) (a) $119,303
========
</TABLE>
------------
Percentages indicated are based on net assets of $120,505.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by net unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 137
Unrealized depreciation...................... (436)
-----
Net unrealized appreciation (depreciation)... $(299)
=====
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
33
<PAGE> 36
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (84.4%):
Alabama (0.4%):
$ 3,500 Courtland Industrial Development
Board, Solid Waste Disposal
Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102...... $ 3,423
--------
Alaska (1.3%):
7,000 North Slope Boro, Capital
Appreciation, GO, Series A, 0.00%,
6/30/08, MBIA...................... 4,586
1,000 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.50%,
7/1/04, Callable 7/1/03 @ 100...... 1,007
1,500 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.00%,
7/1/09, AMBAC...................... 1,462
1,480 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.10%,
7/1/10, Callable 7/1/09 @ 100,
AMBAC.............................. 1,441
1,560 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.20%,
7/1/11, Callable 7/1/09 @ 100,
AMBAC.............................. 1,521
--------
10,017
--------
Arizona (2.8%):
4,795 Central Arizona Water Conservation,
District Contract Revenue, Central
Arizona Project, Series A, 5.50%,
11/1/10............................ 4,976
1,105 Maricopa County, IDA, Multi-Family
Housing Revenue, 5.65%, 1/1/09,
Callable 1/1/07 @ 101.............. 1,079
1,280 Maricopa County, IDA, Multi-Family
Housing Revenue, 6.05%, 7/1/17,
Callable 1/1/07 @ 101.............. 1,246
1,385 Maricopa County, IDA, Multi-Family
Housing Revenue, Coral Point
Apartments, Project B, AMT, 5.10%,
3/1/28, Callable 3/1/06 @ 101...... 1,322
605 Maricopa County, IDA, Single Family
Mortgage Revenue, Capital
Appreciation, Series 1983A, 0.00%,
12/31/14, ETM...................... 270
3,000 Maricopa County, School District #28,
Kyrene Elementary, Capital
Appreciation, Series B, GO, 0.00%,
1/1/04, FGIC....................... 2,530
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$ 2,000 Maricopa County, Unified School
District #41, Gilbert, Series C,
GO, 6.10%, 7/1/14, Prerefunded
7/1/04 @ 100, FGIC................. $ 2,097
2,835 Phoenix Airport Revenue, Series D,
AMT, 6.00%, 7/1/06, Callable 7/1/04
@ 102, MBIA........................ 2,980
700 Phoenix, IDA, Hospital Revenue, John
C Lincoln Hospital, 6.00%, 12/1/10,
Callable 12/1/03 @ 102............. 658
2,540 Salt River Project Agriculture
Improvements & Power District,
Electric System Revenue, 5.00%,
1/1/10, Callable 1/1/01 @ 100...... 2,522
1,000 Tempe, IDA, Multi-Family Revenue,
Series A, 6.13%, 6/1/10, Callable
6/1/03 @ 102, FHA.................. 1,023
1,000 Tucson Water Revenue, 6.50%, 7/1/16,
Callable 7/1/01 @ 102, AMBAC....... 1,037
--------
21,740
--------
Arkansas (0.6%):
5,100 Ashdown, PCR, Nekoosa Papers, Inc.
Project, 4.75%, 4/1/08, Callable
3/1/08 @ 100....................... 4,712
--------
California (1.7%):
2,000 ABAG Finance Authority for Nonprofit
Corp., American Baptist Homes,
5.75%, 10/1/17, Callable 10/1/07 @
102................................ 1,662
1,945 ABAG Finance Authority for Nonprofit
Corp., Multi-Family Housing
Revenue, AMT, 6.75%, 4/20/07,
GNMA............................... 2,045
2,000 ABAG Finance Authority for Nonprofit
Corp., Multi-Family Housing
Revenue, AMT, 5.70%, 11/1/26,
Callable 11/1/06 @ 100............. 2,026
3,000 Sacramento Municipal Utility
District, 5.40%, 11/15/06, Callable
11/15/03 @ 102, FSA................ 3,073
5,000 Statewide Community Development
Authority, Apartment Development
Revenue, Series A-3, 5.10%,
5/15/25, Callable 7/1/08 @ 101..... 4,747
--------
13,553
--------
Colorado (7.9%):
1,230 Adams County, Single Family Mortgage
Revenue, Series A, 8.88%, 8/1/03... 1,370
</TABLE>
Continued
34
<PAGE> 37
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 3,290 Arapahoe County, Capital
Improvements, Project E470, 0.00%,
8/31/03, ETM....................... $ 2,815
1,135 Arapahoe County, School District #1,
Englewood, Capital Appreciation,
GO, 0.00%, 11/1/09, FSA............ 695
1,325 Aurora Housing Authority,
Multi-Family Housing Revenue, River
Falls Project, Series A. 5.00%,
7/1/09............................. 1,252
1,270 Clear Creak School District, GO,
6.25%, 12/1/12, Callable 12/1/10 @
100,
FSA................................ 1,386
1,060 Clear Creak School District, GO,
6.25%, 12/1/14, Callable 12/1/10 @
100,
FSA................................ 1,145
300 Cordillera Metropolitan District,
4.75%, 12/1/09, Callable 12/1/08 @
100................................ 276
1,385 Cordillera Metropolitan District,
4.95%, 12/1/12, Callable 12/1/08 @
100................................ 1,255
1,000 Cordillera Metropolitan District,
5.15%, 12/1/15, Callable 12/1/08 @
100................................ 914
2,785 Denver City & County, Airport
Revenue, Series C, AMT, 6.55%,
11/15/03, Callable 11/15/02 @
102................................ 2,904
1,640 Denver City & County, Airport
Revenue, Series B, AMT, 5.75%,
11/15/09, Callable 11/15/06 @ 102,
MBIA............................... 1,708
1,000 Denver City & County, Airport
Revenue, Series A, AMT, 8.00%,
11/15/25, Callable 11/15/01 @
100................................ 1,034
9,750 Denver City & County, School District
#1, GO, Series A, 0.00%, 12/1/06... 7,003
1,000 Denver City & County, School District
#1, GO, Series A, 6.50%, 12/1/10... 1,118
2,200 E-470 Business Metropolitan District,
GO, 5.13%, 12/1/17, Callable
12/1/09 @ 100...................... 1,960
250 El Paso County, School District #020,
GO, 5.00%, 12/15/01, AMBAC......... 252
5,000 El Paso County, School District #11,
Colorado Springs, GO, 7.13%,
12/1/19, Callable 12/1/07 @ 125.... 5,923
1,135 Health Facilities Authority, Revenue,
Series A, 6.40%, 1/1/10, Callable
1/1/07 @ 101....................... 1,082
2,865 Housing Finance Authority, Series A,
6.40%, 8/1/06, Prerefunded 8/1/02 @
102................................ 2,959
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 4,000 Housing Finance Authority,
Multi-Family Insured Mortgage,
Revenue,
Series C-3, 5.65%, 10/1/15,
Callable 8/4/00 @ 100, FHA......... $ 3,947
125 Housing Finance Authority, Single
Family Housing Revenue, Sub-Series
B, 5.63%, 5/1/04................... 126
100 Housing Finance Authority, Single
Family Housing Revenue, Series F,
AMT, 6.75%, 12/1/04................ 101
130 Housing Finance Authority, Single
Family Housing Revenue, Series D,
5.65%, 12/1/04, Callable 5/1/03 @
100................................ 130
2,800 Housing Finance Authority, Single
Family Housing Revenue, Series B-3,
6.80%, 11/1/28, Callable 5/1/07 @
105................................ 3,003
4,625 Metropolitan Football Stadium,
District Sales Tax Revenue, Series
B, 0.00%, 1/1/03................... 4,081
2,000 Metropolitan Football Stadium,
District Sales Tax Revenue, Series
B, 0.00%, 1/1/11................... 1,131
1,845 Pueblo County School District #070,
Pueblo Rural, GO, 6.00%, 12/1/14,
Callable 12/1/09 @ 100, FGIC....... 1,940
2,410 Pueblo County School District #070,
Pueblo Rural, GO, 6.00%, 12/1/15,
Callable 12/1/09 @ 100, FGIC....... 2,526
3,355 Pueblo County School District #070,
Pueblo Rural, GO, 6.00%, 12/1/16,
Callable 12/1/09 @ 100, FGIC....... 3,498
325 San Miguel County, Mountain Village
Metropolitan District, GO, 8.10%,
12/1/11, Callable 12/1/02 @ 101.... 346
3,410 Water Reservoir & Power Development
Authority, Wastewater Revenue,
Series A, 6.00%, 9/1/10, AMBAC..... 3,672
--------
61,552
--------
Connecticut (0.0%):
110 State Housing Finance Authority,
Mortgage Finance Program, Series B,
7.10%, 11/15/04, Callable 11/15/00
@ 101, FHA/VA...................... 112
--------
District of Columbia (2.1%):
2,000 District of Columbia, GO, Series B3,
5.20%, 6/1/04, MBIA................ 2,019
1,000 District of Columbia, GO, Series B3,
5.30%, 6/1/05, MBIA................ 1,014
</TABLE>
Continued
35
<PAGE> 38
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
District of Columbia, continued:
$ 5,670 District of Columbia, GO, 4.95%,
6/1/05, MBIA, ETM.................. $ 5,664
4,645 District of Columbia, GO, Series A-2,
4.95%, 6/1/05, AMBAC, ETM.......... 4,640
2,880 Housing Finance Agency, Multi-Family
Mortgage Revenue, Congress Park
Plaza Project, Series A, 6.20%,
11/20/03, GNMA..................... 2,936
--------
16,273
--------
Florida (5.5%):
1,085 Clay County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 6.20%, 9/1/11,
Callable 3/1/05 @ 102, GNMA........ 1,130
845 Clay County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 6.25%, 9/1/13,
Callable 3/1/05 @ 102, GNMA........ 876
1,580 Clay County, Housing Finance
Authority, Single Family Mortgage
Revenue, Multi-County Program, AMT,
5.25%, 10/1/07, Callable 4/1/07
@102, GNMA/FNMA.................... 1,579
1,000 Dade County, Aviation Revenue, Series
A, 6.00%, 10/1/08, Callable 10/1/05
@ 102, AMBAC....................... 1,064
1,155 Department of Corrections, Okeechobee
Correctional Facilities,
Certificates of Participation,
6.00%, 3/1/06, Callable 3/1/05 @
102, AMBAC......................... 1,219
1,935 Escambia County, Housing Finance
Authority, Multi-Family Housing
Revenue, 5.75%, 4/1/04, Callable
8/21/00 @ 101, GNMA................ 1,950
13,111 Housing Finance Agency, Multi-Family
Housing, Series A, 6.00%,
3/30/04............................ 12,902
1,185 Indian River County, Hospital
Revenue, 5.95%, 10/1/09, Callable
1/1/07 @ 102, FSA.................. 1,250
1,285 Indian River County, Hospital
Revenue, 6.00%, 10/1/10, Callable
1/1/07 @ 102, FSA.................. 1,355
12,690 Jacksonville Electric Authority,
Revenue, St. Johns River Power,
Series 4, 5.00%, 10/1/13, Callable
10/1/00 @ 100...................... 12,219
5,000 State Board of Education Capital
Outlay, GO, Series B, 5.00%,
6/1/12, Callable 6/1/01 @ 100...... 4,879
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$ 2,920 Tampa Water & Sewer Revenue, 0.00%,
10/1/05, Callable 10/1/00 @ 62.35,
ETM................................ $ 2,091
--------
42,514
--------
Georgia (0.5%):
1,000 Atlanta Airport Facilities, Revenue,
Series A, 6.50%, 1/1/07, AMBAC..... 1,086
1,500 Atlanta Airport Facilities, Revenue,
Series A, 6.50%, 1/1/08, AMBAC..... 1,639
1,215 Columbus Water & Sewer, Revenue,
6.30%, 5/1/06, Callable 11/1/02 @
102, FGIC.......................... 1,276
--------
4,001
--------
Hawaii (0.9%):
1,000 Honolulu City & County, GO, Series A,
5.60%, 4/1/07, FSA................. 1,036
3,335 State, GO, Series CM, 6.00%, 12/1/10,
FGIC............................... 3,571
2,065 State Department Budget & Finance
Mortgage, Revenue, Kapiolani
Healthcare Systems, 5.60%,
7/1/02............................. 2,075
--------
6,682
--------
Idaho (1.1%):
1,040 Boise Wastewater Facilities, Revenue,
4.20%, 2/1/10, Callable 2/1/09 @
101, AMBAC......................... 941
1,600 Southern Idaho Regional Solid Waste
District, Certificates of
Participation, 5.45%, 11/1/13,
Callable 11/1/03 @ 101, LOC: Dexia
Credit Local....................... 1,623
4,500 Student Loan Fund Marketing
Association, Inc., Series C, AMT,
5.60%, 4/1/07, Callable 10/1/03 @
102, GSL........................... 4,470
1,300 University of Idaho, University
Revenue, Student
Fee-Telecommunications, 5.75%,
4/1/06, FSA........................ 1,358
--------
8,392
--------
Illinois (4.7%):
1,460 Broadview Tax Increment, Revenue,
4.00%, 7/1/00...................... 1,460
1,655 Broadview Tax Increment, Revenue,
4.50%, 7/1/03...................... 1,615
1,000 Chicago Metro Water Reclamation,
District-Greater Chicago, Capital
Improvements, GO, 7.25%, 12/1/12... 1,190
</TABLE>
Continued
36
<PAGE> 39
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 5,000 Chicago O'Hare International Airport
Revenue, Series A, 5.63%, 1/1/13,
Callable 1/1/06 @ 102, AMBAC....... $ 5,067
3,045 Chicago Park District, GO, 6.35%,
11/15/08, Callable 11/15/05 @ 102,
MBIA............................... 3,256
570 Chicago, Single Family Mortgage
Revenue, Series B, 0.00%, 10/1/09,
MBIA............................... 303
1,450 Chicago, Single Family Mortgage
Revenue, 0.00%, 10/1/09, Callable
10/1/05 @ 78.60, MBIA.............. 784
495 Evanston Residential Mortgage, Single
Family Housing Revenue, 6.38%,
1/1/09, Callable 7/1/02 @ 102,
AMBAC.............................. 504
1,645 Health Facility Authority, Revenue,
Healthcare Facilities-Northwestern
Medical, 6.13%, 11/15/07,
Prerefunded 11/15/04 @ 102, MBIA... 1,756
2,250 Metropolitan Pier & Exposition
Authority, Dedicated State Tax
Revenue, 6.40%, 6/1/03............. 2,348
2,500 Metropolitan Pier & Exposition
Authority, Dedicated State Tax
Revenue, 6.50%, 6/1/04............. 2,646
2,000 Metropolitan Pier & Exposition
Authority, Dedicated State Tax
Revenue, 6.50%, 6/1/05............. 2,137
3,500 Peru, IDR, Consolidated Freightways
Corp. Project, Series B, 5.25%,
1/1/04............................. 3,390
2,785 Regional Transportation Authority,
Revenue, Transit Improvement,
Series A, 8.00%, 6/1/03, AMBAC..... 3,026
1,000 Springfield Electric Revenue, 6.30%
3/1/04............................. 1,050
2,500 Student Assistance, Student Loan
Revenue, Series M, AMT, 6.60%,
3/1/07, Callable 3/1/02 @ 102...... 2,591
4,445 Winnebago County, School District
#122, Harlem-Loves Park, GO, 0.00%,
1/1/13, FSA........................ 2,218
1,350 Winnebago County, School District
#122, Harlem-Loves Park, Refunding,
GO, 6.35%, 6/1/07, FGIC............ 1,460
--------
36,801
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana (2.7%):
$ 4,900 Fremont, IDR, Consolidated
Freightways Corp. Project, 5.25%,
5/1/04............................. $ 4,709
3,260 Health Facilities Financing
Authority, Hospital Revenue,
Hancock Memorial Hospital Health
Services, 6.00%, 8/15/10, Callable
8/15/06 @ 102...................... 3,093
250 Health Facilities Financing
Authority, Hospital Revenue,
Clarian Health Partners, Inc.,
Series A, 5.50%, 2/15/16, Callable
2/15/07 @ 102...................... 239
3,400 Indianapolis Airport Authority,
Special Facilities Revenue, Federal
Express Corp. Project, AMT, 7.10%,
1/15/17, Callable 7/15/04 @ 102.... 3,526
2,500 Indianapolis Economic Development,
Revenue, Butler Association LTD.
Project, 5.40%, 1/1/03, Callable
1/1/01 @ 100....................... 2,502
2,755 Indianapolis Economic Development,
Revenue, Knob-in-the-Woods Project,
6.38%, 12/1/04..................... 2,890
1,000 State Vocational Technical College,
Building Facilities Fee, Series D,
6.50%, 7/1/07, Callable 1/1/05 @
102, AMBAC......................... 1,080
2,500 Transportation Finance Authority,
Revenue, Series A, 5.75%, 6/1/12... 2,622
--------
20,661
--------
Iowa (0.1%):
140 Finance Authority, Single Family
Mortgage Revenue, Series F, 6.15%,
7/1/04, Callable 1/1/03 @ 102,
AMBAC.............................. 141
400 Finance Authority, Single Family
Mortgage Revenue, Series F, 6.35%,
7/1/09, Callable 1/1/03 @ 102,
AMBAC.............................. 405
--------
546
--------
Kansas (0.6%):
2,005 Sedgwick & Shawnee Counties, Single
Family Housing Revenue, Series A-2,
6.70%, 6/1/29, GNMA................ 2,191
650 Sedgwick County, Single Family
Mortgage Revenue, Series A-2,
6.50%, 12/1/16, Callable 12/1/07 @
105, GNMA.......................... 667
</TABLE>
Continued
37
<PAGE> 40
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kansas, continued:
$ 1,750 Wichita Hospital, Revenue, St.
Francis Regional Hospital, Series
A-3, 6.25%, 10/1/10, Callable
10/1/02 @ 102, MBIA................ $ 1,827
--------
4,685
--------
Kentucky (1.4%):
1,085 Greater Kentucky Housing Assistance
Corp., Multi-Family Housing
Revenue, Series A, 5.90%, 2/1/14,
Callable 2/1/03 @ 100, FHA......... 1,088
1,000 Kenton County, Public Properties
Corp., Revenue, Series A, 5.63%,
12/1/12, Callable 12/1/06 @ 101.... 1,017
1,010 Martin County, Multi-Family Housing
Revenue, Mortgage Section 8, 6.25%,
7/1/23, Callable 9/1/00 @ 106,
FHA................................ 1,018
25 Owensboro Electric Light & Power,
Revenue, Series B, 0.00%, 1/1/09,
Callable 7/1/00 @ 42.24, BIG....... 11
2,725 Pinellas County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 6.30%, 3/1/29,
Callable 9/1/07 @ 102, GNMA/FNMA... 2,805
1,200 State Property & Buildings,
Commission Revenue, Project #66,
Series A, 5.38%, 5/1/11, Callable
5/1/10 @ 100,
MBIA............................... 1,222
1,080 State Property & Buildings,
Commission Revenue, Project #66,
Series A, 5.40%, 5/1/12, Callable
5/1/10 @ 100,
MBIA............................... 1,095
1,000 State Property & Buildings,
Commission Revenue, Project #66,
Series A, 5.50%, 5/1/14, Callable
5/1/10 @ 100,
MBIA............................... 1,009
1,605 State Property & Buildings,
Commission Revenue, Project #66,
Series A, 5.70%, 5/1/18, Callable
5/1/10 @ 100,
MBIA............................... 1,617
--------
10,882
--------
Louisiana (1.0%):
207 Housing Finance Agency, Single Family
Mortgage Revenue, 7.80%, 12/1/09,
Callable 6/1/04 @ 105, GNMA........ 229
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 600 Housing Finance Agency, Single Family
Mortgage Revenue, Series D-2, AMT,
8.00%, 6/1/27, Callable 12/1/06 @
102, GNMA/FNMA..................... $ 630
1,350 Jefferson Sales Tax District, Special
Sales Tax Revenue, Series A, 6.75%,
12/1/06, Callable 12/1/02 @ 100,
FGIC............................... 1,408
5,450 Lake Charles Harbor & Terminal
District, Port Facilities Revenue,
Trunkline Long Co. Project, 7.75%,
8/15/22, Callable 8/15/02 @ 103.... 5,836
--------
8,103
--------
Maine (0.2%):
1,800 Regional Waste Systems, Solid Waste
Recovery Revenue, Series P, 5.25%,
7/1/04............................. 1,812
--------
Maryland (0.4%):
2,950 State Community Development
Administration Department, Housing
and Community Development, Single
Family Housing Revenue, Fifth
Series, 5.95%, 4/1/16, Callable
4/1/06 @ 102....................... 2,959
--------
Massachusetts (2.4%):
3,880 New England Education Loan Marketing
Corp., Series F, AMT, 5.63%,
7/1/04, GSL........................ 3,966
5,250 New England Education Loan Marketing
Corp., Student Loan Revenue, Series
A, 6.50%, 9/1/02, GSL.............. 5,438
1,650 State, GO, Series C, 6.00%, 8/1/09,
FGIC............................... 1,775
3,375 State Housing Finance Agency,
Residential Development, 6.88%,
11/15/11, Callable 5/15/02 @ 102,
FNMA............................... 3,541
3,750 State Housing Finance Agency,
Residential Development, 6.80%,
11/15/12, Callable 5/15/02 @ 102,
FNMA............................... 3,920
--------
18,640
--------
Michigan (4.2%):
2,275 Detroit, GO, Series B, 5.88%, 4/1/12,
Callable 4/1/10 @ 101, MBIA........ 2,402
</TABLE>
Continued
38
<PAGE> 41
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$ 4,525 Dickinson County Economic Development
Corp., Solid Waste Disposal
Revenue, Champion International
Paper, 6.55%, 3/1/07, Callable
7/29/00 @ 102...................... $ 4,617
4,000 Rochester Community School District,
GO, Series I, 5.50%, 5/1/09........ 4,137
3,970 Royal Oak Hospital Finance Authority,
Hospital Revenue, William Beaumont
Hospital, 6.25%, 1/1/10............ 4,229
5,445 Royal Oak Hospital Finance Authority,
Hospital Revenue, William Beaumont
Hospital, 6.25%, 1/1/11............ 5,802
3,850 Royal Oak Hospital Finance Authority,
Hospital Revenue, William Beaumont
Hospital, 6.25%, 1/1/12............ 4,102
2,500 State Building Authority, Revenue,
Facilities Program, Series 1,
4.20%, 10/15/21, Callable 10/15/00
@ 100.............................. 2,364
1,505 State Building Authority, Revenue,
Facilities Program, Series 1,
3.88%, 10/15/21, Callable 10/15/09
@ 100.............................. 1,490
2,000 State Hospital Finance Authority,
Revenue, Crittenton Hospital,
Series A, 5.25%, 3/1/14, Callable
3/1/04 @ 102....................... 1,815
1,500 State Hospital Finance Authority,
Revenue, Genesys Health System,
Series A, 8.10%, 10/1/13,
Prerefunded 10/1/05 @ 102.......... 1,748
--------
32,706
--------
Minnesota (2.0%):
1,900 Blaine, IDR, Consolidated Freightways
Corp. Project, 5.15%, 1/1/04....... 1,845
2,410 State Housing Finance Agency, Single
Family Mortgage Revenue, Series G,
AMT, 6.25%, 7/1/26, Callable 1/1/06
@ 102.............................. 2,449
10,725 State Housing Finance Agency, Single
Family Mortgage Revenue, Series L,
AMT, 6.25%, 7/1/27, Callable 1/1/05
@ 102.............................. 10,868
--------
15,162
--------
Mississippi (0.5%):
1,450 Home Corp., Single Family Revenue,
Series D, 6.65%, 7/1/12, Callable
7/1/07 @ 105, FNMA/GNMA............ 1,484
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Mississippi, continued:
$ 3,000 Perry County, PCR, Leaf River Forest
Project, 5.20%, 10/1/12, Callable
3/1/12 @ 100....................... $ 2,737
--------
4,221
--------
Missouri (1.2%):
1,895 Carthage, Waterworks & Wastewater
Treatment Systems, Series B, 6.30%,
7/1/09, Callable 7/1/04 @ 101,
MBIA............................... 2,017
1,430 Kansas City Municipal Corp., Revenue,
5.40%, 1/15/08, Callable 1/15/06 @
101, AMBAC......................... 1,469
1,055 Kansas City, IDA, Multi-Family
Housing Revenue, Mews Apartments
Project, Series A, AMT, 5.63%,
7/1/05............................. 1,071
1,500 St. Louis Convention & Sports
Complex, Series B, 5.50%, 8/15/13,
Callable 8/15/03 @ 102, MBIA....... 1,513
2,955 St. Louis Land Clearance
Redevelopment Authority,
Multi-Family Housing Revenue,
Westminster Place Apartments,
Series A, 5.95%, 7/1/22, FNMA...... 3,057
--------
9,127
--------
Montana (0.9%):
990 State Board Housing, Single Family
Housing Revenue, Series A-2, AMT,
5.10%, 12/1/30, Callable
6/1/09 @ 100....................... 974
5,490 State Board Regents Revenue, Higher
Education - University of Montana,
Series F, 6.00%, 5/15/19, Callable
5/15/10 @ 102, MBIA................ 5,690
--------
6,664
--------
Nevada (1.4%):
8,200 Clark County, PCR, Nevada Power Co.
Project, 5.30%, 10/1/11, Callable
1/1/03 @ 102, ACA.................. 7,938
3,010 Washoe County, School District, GO,
6.13%, 8/1/07, Callable 8/1/02 @
101, MBIA.......................... 3,114
--------
11,052
--------
New Hampshire (0.2%):
1,225 Higher Education & Health Facilities
Authority, Revenue, St. Joseph
Hospital, 6.25%, 1/1/06, Callable
7/1/04 @ 102....................... 1,292
--------
</TABLE>
Continued
39
<PAGE> 42
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New Jersey (0.3%):
$ 1,500 State Transportation Corp.,
Certificates of Participation,
Series A, 3.70%,
9/15/03............................ $ 1,436
1,050 Woodbridge Township, GO, 6.65%,
8/1/00............................. 1,052
--------
2,488
--------
New Mexico (1.1%):
1,000 Albuquerque Airport Revenue, Series
A, AMT, 6.50%, 7/1/11, Callable
7/1/00 @ 105, AMBAC................ 1,051
5,455 Educational Assistance Foundation,
Student Loan Revenue, Series A,
AMT, 6.85%, 4/1/05, Callable 4/1/02
@ 102, AMBAC....................... 5,696
1,030 University of New Mexico, Revenue,
Series B, 0.00%, 6/1/07, MBIA...... 720
1,040 University of New Mexico, Revenue,
Series B, 0.00%, 6/1/08, MBIA...... 688
1,115 University of New Mexico, Revenue,
Series B, 0.00%, 6/1/09, MBIA...... 696
--------
8,851
--------
New York (5.2%):
250 Kiryas Joel Housing Authority, Multi-
Family Housing Revenue, Kiryas
Timurim Project, 6.50%, 7/1/32,
Mandatory put 12/31/00 @ 100....... 250
3,000 Long Island Power Authority,
Electrical System Revenue, 5.13%,
4/1/12, Callable 6/1/04 @ 105,
MBIA............................... 2,958
1,395 Nassau County, GO, Series O, 5.63%,
8/1/03, FGIC....................... 1,430
2,600 New York, GO, Series A, 7.00%,
8/1/07, Callable 8/1/06 @ 101.50... 2,873
5,000 New York City Housing Development
Corp., Multi-Family Housing
Revenue, Series A, 5.63%, 5/1/12,
Callable 5/1/06 @ 102.............. 4,985
4,000 New York City, GO, Series D, 6.50%,
11/1/09, MBIA...................... 4,429
6,500 New York City, GO, Unlimited Series
I, 5.75%, 3/15/07, Callable 3/15/03
@ 101.50, MBIA..................... 6,810
1,980 Radisson Senior Citizens Housing
Corp., Multi-Family Housing
Revenue, The Meadows Project,
Series A, 5.63%, 8/1/11............ 1,944
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New York, continued:
$ 1,500 State Dormitory Authority, Revenue,
Series A, 5.50%, 7/1/04............ $ 1,528
4,300 State Dormitory Authority, Revenue,
Series A, 5.20%, 5/15/05, Callable
5/15/03 @ 101.50................... 4,333
2,160 State Dormitory Authority, Revenue,
4.40%, 8/1/13, Callable 2/1/08 @
101, AMBAC......................... 2,084
915 State Dormitory Authority, Revenue,
4.48%, 8/1/19, Callable 2/1/09 @
101, MBIA.......................... 888
5,925 State Housing Finance Agency,
Revenue, Nursing Home & Health Care
Project, Series A, 4.25%,
11/1/03............................ 5,792
--------
40,304
--------
North Carolina (0.8%):
1,100 Housing Finance Agency, Home
Ownership Revenue, Series 1-B,
5.13%, 7/1/13, Callable 7/1/08 @
101................................ 1,075
2,250 Housing Finance Agency, Multi-Family
Housing Revenue, Series F, 6.70%,
1/1/27, Callable 7/1/01 @ 102,
FHA................................ 2,340
2,500 Municipal Power Agency, Revenue, #1
Catawba Electric, 7.25%, 1/1/07,
MBIA............................... 2,802
--------
6,217
--------
North Dakota (0.5%):
3,500 Mercer County, PCR, Dakota Utilities
Co. Project, 6.65%, 6/1/22,
Callable 6/1/02 @ 102, FGIC........ 3,668
115 State Housing Finance Agency, Single
Family Housing Revenue, Housing
Finance Program, Series D, 6.25%,
7/1/09, Callable 7/1/04 @ 102...... 115
--------
3,783
--------
Ohio (3.2%):
5,270 Cleveland Stadium Project,
Certificates of Participation,
0.00%, 11/15/07,
AMBAC.............................. 3,604
4,500 Montgomery County, Hospital Revenue,
Kettering Medical Center, 5.63%,
4/1/16, Callable 4/1/06 @ 102,
MBIA............................... 4,526
2,500 Northeast Regional Sewer District,
Wastewater Revenue, 5.60%,
11/15/13, Callable 11/15/05 @ 101,
AMBAC.............................. 2,547
</TABLE>
Continued
40
<PAGE> 43
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 1,245 Ohio Capital Corp., Multi-Family
Housing Revenue, Series P, 5.40%,
1/1/09, Callable 7/1/03 @ 100,
MBIA............................... $ 1,246
1,200 Ohio Capital Corp., Multi-Family
Housing Revenue, Series M, 5.90%,
2/1/14, Callable 2/1/03 @ 100,
FHA................................ 1,205
1,250 Olmsted Falls Local School District,
GO, 0.00%, 12/15/10, AMBAC......... 716
2,000 South-Western City School District,
Franklin & Pickaway County, GO,
0.00%, 12/1/02, AMBAC.............. 1,779
1,150 State Higher Educational Facility
Community, Revenue, Series D,
6.25%, 7/1/10...................... 1,245
2,470 Toledo Lucas County, Port Authority
Development, Revenue, Series B,
AMT, 5.63%, 11/15/04............... 2,448
1,100 Toledo Lucas County, Port Authority
Development, Revenue, Series A,
5.40%, 5/15/19, Callable 5/15/09 @
102................................ 933
1,000 Warrensville Heights City School
Improvements, GO, 7.00%, 12/1/11,
FGIC............................... 1,159
1,000 Warrensville Heights City School
Improvements, GO, 7.00%, 12/1/12,
FGIC............................... 1,156
1,075 Warrensville Heights City School
Improvements, GO, 7.00%, 12/1/13,
FGIC............................... 1,236
1,150 Warrensville Heights City School
Improvements, GO, 7.00%, 12/1/14,
FGIC............................... 1,316
--------
25,116
--------
Oklahoma (0.5%):
945 Housing Finance Agency, Single Family
Housing Revenue, Homeownership Loan
Program, Series B-1, 5.60%, 3/1/28,
Callable 9/1/07 @ 102, GNMA/FNMA... 883
2,500 State, IDR, Baptist Health Center,
Series C, 6.25%, 8/15/12, Callable
8/15/07 @ 100, ETM................. 2,640
--------
3,523
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon (2.8%):
$ 3,000 Clackamas County, Hospital Facility
Authority Revenue, Legacy Health
System, 5.38%, 2/15/12, Callable
8/15/09 @ 101...................... $ 2,977
1,475 Lane County School District #040,
Creswell, GO, 6.00%, 6/15/13,
Callable 6/15/10 @ 100............. 1,573
1,785 Lane County School District #040,
Creswell, GO, 6.00%, 6/15/15,
Callable 6/15/10 @ 100............. 1,887
1,025 Lane County School District #040,
Creswell, GO, 6.00%, 6/15/16,
Callable 6/15/10 @ 100............. 1,079
1,120 Lane County School District #040,
Creswell, GO, 6.00%, 6/15/17,
Callable 6/15/10 @ 100............. 1,173
1,000 Lane County, School District #52,
Bethel, GO, 6.00%, 6/1/06, FSA..... 1,061
3,380 Marion County, Solid Waste & Electric
Revenue, Ogden Martin Systems,
5.50%, 10/1/05, AMBAC.............. 3,497
1,000 Polk, Marion, & Benton Counties
School District, #13J, GO, 5.75%,
6/15/12, Callable 6/15/10 @ 100,
FSA................................ 1,040
1,905 Polk, Marion, & Benton Counties
School District, #13J, GO, 5.75%,
6/15/15, Callable 6/15/10 @ 100,
FSA................................ 1,952
1,965 Wasco County School District #012,
GO, 6.00%, 6/15/14, Callable
6/15/10 @ 100, FSA................. 2,082
1,050 Washington County Sewer Agency,
Revenue, Series 1, 5.75%, 10/1/11,
FGIC............................... 1,108
2,075 Washington County, School District
#88, GO, 6.10%, 6/1/05, Callable
12/15/04 @ 100, FSA................ 2,196
--------
21,625
--------
Pennsylvania (2.0%):
3,200 Dauphin County, IDA, Metropolitan
Edison Co., Series M, 6.00%,
1/1/08, Callable 1/1/01 @ 100,
MBIA............................... 3,204
1,550 Housing Finance Agency, Single Family
Mortgage Revenue, Series 67A, AMT,
5.50%, 10/1/11, Callable
9/1/09 @ 100....................... 1,547
1,250 Indiana County, IDA, PCR, New York
State Electric & Gas Corp., Series
A, 6.00%, 6/1/06, MBIA............. 1,324
</TABLE>
Continued
41
<PAGE> 44
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Pennsylvania, continued:
$ 1,500 Northeastern Hospital & Education
Authority, Health Care Revenue,
Wyoming Valley Health Care, Series
A, 6.40%, 1/1/06, Callable
1/1/05 @ 102, AMBAC................ $ 1,599
2,350 Philadelphia Airport Revenue, Series
A, AMT, 5.50%, 6/15/05, AMBAC...... 2,403
1,500 Philadelphia Water & Waste, Revenue,
5.65%, 6/15/12, Callable 6/15/03 @
102................................ 1,510
4,000 State Financial Authority, Revenue,
Capital Improvements Program,
6.60%, 11/1/09, Callable 11/1/03 @
102, LOC: Societe Generale......... 4,233
--------
15,820
--------
Puerto Rico (1.8%):
4,800 Commonwealth Public Improvement, GO,
7.00%, 7/1/10, AMBAC............... 5,612
8,000 Electric Power Authority Revenue,
Series CC, 5.00%, 7/1/10, Callable
7/1/07 @ 101.50, FSA............... 8,067
--------
13,679
--------
Rhode Island (0.4%):
1,000 Housing & Mortgage Financial Corp.,
Series 15-B, 6.20%, 10/1/06,
Callable 4/1/04 @ 102, MBIA........ 1,022
2,060 Johnston, Deficit Funding, GO, Series
A, 4.10%, 6/15/01.................. 2,045
--------
3,067
--------
South Carolina (2.4%):
2,000 Charleston County, Care Alliance
Health Services, Revenue, Series A,
5.13%, 8/15/15, FSA................ 1,921
2,810 Charleston County, Public
Improvements, GO, 6.13%, 9/1/12,
Callable 9/1/09 @ 101.............. 3,038
1,760 Greenville District Public Facilities
Corp., Certificates of
Participation, Bi-Lo Center
Project, Series B, 5.60%, 3/1/10,
Prerefunded 3/1/06 @ 102, AMBAC.... 1,847
2,840 Greenville Hospital Systems, Hospital
Facilities Revenue, Series A,
5.00%, 5/1/04...................... 2,834
3,080 Greenville Hospital Systems, Hospital
Facilities Revenue, Series A,
5.10%, 5/1/05...................... 3,077
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
South Carolina, continued:
$ 1,215 Jobs Economic Development Authority,
Hospital Facilities Revenue,
Georgetown Memorial Hospital,
5.50%, 11/1/12, Callable 11/1/09 @
101, AMBAC......................... $ 1,221
1,850 Lancaster County School District, GO,
6.75%, 3/1/09, FSA................. 2,071
105 Piedmont Municipal Power Agency,
Electric Revenue, Series A, 6.55%,
1/1/16, Callable 1/1/01 @ 100...... 103
1,545 Spartanburg Sanitation Sewer
District, Sewer Systems Revenue,
Series B, 0.00%, 3/1/14, Callable
3/1/09 @ 79.30, MBIA............... 700
2,000 State Public Services Authority,
Revenue, Series A, 5.75%, 1/1/15,
Callable 1/1/10 @ 101, MBIA........ 2,052
--------
18,864
--------
Tennessee (1.1%):
1,240 Dyer County Industrial Development
Board, IDR, Tennessee Association
Project, 6.00%, 2/1/07, Callable
2/1/04 @ 102....................... 1,219
2,000 Housing Development Agency, Mortgage
Finance Revenue, Series B, 6.20%,
7/1/18, Callable 7/1/05 @ 102,
MBIA............................... 2,036
2,985 Housing Development Agency, Revenue,
Homeownership Program, Issue 3A,
AMT, 0.00%, 7/1/06................. 2,130
2,000 Memphis-Shelby County Airport,
Revenue, Federal Express Corp.,
6.75%, 9/1/12, Callable 9/1/02 @
102................................ 2,072
1,000 Trenton, Industrial Development
Board, IDR, Kraft, Inc. Project,
Series A, 5.40%, 10/1/02, Callable
8/21/00 @ 100...................... 1,002
--------
8,459
--------
Texas (4.7%):
2,460 Austin Housing Finance Corp., Single
Family Mortgage Revenue, 0.00%,
12/1/11, Callable 12/1/05 @ 71.20,
MBIA............................... 1,286
1,000 Austin Utility Systems, Revenue,
Series A, 0.00%, 5/15/08, MBIA..... 663
1,815 Carroll Independent School District,
GO, Series A, 0.00%, 2/15/13,
Callable 2/15/08 @ 78.12, PSFG..... 875
</TABLE>
Continued
42
<PAGE> 45
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 1,435 Carroll Independent School District,
GO, Series A, 0.00%, 2/15/14,
PSFG............................... $ 646
1,155 Cedar Hill Independent School
District, GO, 0.00%, 8/15/12,
Callable 8/15/09 @ 83.50........... 574
680 Central Texas Housing Finance Corp.,
Single Family Mortgage Revenue,
AMT, 8.20%, 4/1/22, GNMA........... 709
5,000 Coastal Bend Health Facilities
Development, Incarnate Word Health
Services, 5.93%, 11/15/13, Callable
11/15/02 @ 102, AMBAC.............. 5,093
1,105 Denison Housing Authority,
Multi-Family Housing Revenue,
Manning Park Plaza, 5.00%, 10/1/09,
Callable
4/1/08 @ 101....................... 1,059
3,375 El Paso Independent School District,
Capital Appreciation, 0.00%,
8/15/09, Callable 8/15/08 @ 95.07,
PSFG............................... 2,044
1,000 Fort Bend Independent School
District, Capital Appreciation, GO,
0.00%, 2/15/06..................... 750
3,600 Grand Prairie Health Facilities,
Refunding, Dallas/Fort Worth
Medical Center Project, 6.50%,
11/1/04, AMBAC..................... 3,707
4,115 Harris County, Houston Sports
Authority, Revenue, Series B,
0.00%, 11/15/12, Callable 11/15/08
@ 81.21, MBIA...................... 2,035
3,700 Harris County, Toll Road, Sub-Lien A,
GO, 0.00%, 8/15/05, MBIA........... 2,854
1,455 Health Facilities Development Corp.,
Hospital Revenue, All Saints
Episcopal Hospital, Series A,
6.25%, 8/15/12, Callable 8/15/03 @
102, MBIA.......................... 1,523
1,685 Hereford Independent School District
Public Facilities Corp., School
Facility Lease Revenue, 5.00%,
8/15/08............................ 1,624
6,720 Leander Independent School District,
GO, 0.00%, 8/15/13, Callable
8/15/09 @ 79.25.................... 3,144
2,000 Leander Independent School District,
GO, 0.00%, 8/15/14, Callable
8/15/06 @ 65.29.................... 882
700 Southlake, GO, 0.00%, 2/15/11,
Callable 2/15/09 @ 88.85, AMBAC.... 383
1,000 Southlake, GO, 0.00%, 2/15/13,
Callable 2/15/09 @ 78.18, AMBAC.... 475
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 770 State Department Housing & Community
Affairs, Single Family Housing
Revenue, Series E, 4.90%, 9/1/02,
MBIA............................... $ 769
635 State Higher Education Coordinating
Board, College Student Loan
Revenue, AMT, 7.45%, 10/1/06,
Callable 10/1/01 @ 102............. 651
1,020 Tech University Revenue, 5.95%,
2/15/13, Prerefunded 2/15/05 @ 100,
AMBAC.............................. 1,068
3,380 Wood Glen Housing Finance Corp.,
7.13%, 9/1/21, Callable 9/1/00 @
100, FHA........................... 3,487
--------
36,301
--------
Utah (0.6%):
3,000 Associated Municipal Power Systems,
Revenue, Hunter Project, 0.00%,
7/1/03, AMBAC...................... 2,584
635 State Housing Finance Agency, Single
Family Mortgage Revenue, Issue D-2,
AMT, 6.35%, 7/1/12, Callable 1/1/05
@ 102, AMBAC/FHA/VA................ 641
1,875 State Housing Finance Agency, Single
Family Mortgage Revenue, Issue E-1,
AMT, 5.38%, 7/1/18, Callable 7/1/08
@ 101.50, FHA/VA................... 1,771
--------
4,996
--------
Vermont (0.0%):
40 University & State Agricultural
College, Series 73A, 5.80%, 7/1/13,
Callable 7/1/00 @ 100.............. 40
--------
Virginia (0.5%):
1,000 Arlington County, IDA, Multi-Family
Housing Revenue, Woodbury Park
Apartments, Series A, 5.35%,
7/1/18, Callable 7/1/08 @ 102...... 924
2,715 Blue Ridge Regional Jail Authority,
Jail Facilities Revenue, 4.38%,
12/1/01, Callable 9/1/00 @ 100..... 2,706
--------
3,630
--------
Washington (6.2%):
1,830 Chelan County, Public Utilities
District #001, Revenue, Series 88A,
5.90%, 7/1/13, Callable 7/1/03 @
102................................ 1,852
1,003 Kitsap County, Consolidated Housing
Authority Revenue, Low Income
Housing, 7.00%, 8/20/08, GNMA...... 1,066
</TABLE>
Continued
43
<PAGE> 46
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington, continued:
$ 2,000 Seattle Light & Power Revenue, 5.30%,
5/1/07, Callable 11/1/03 @ 102..... $ 2,032
1,000 Seattle Light & Power Revenue, Series
A, 6.00%, 8/1/13, Callable 8/1/02 @
102................................ 1,029
3,000 Snohomish County, Public Utility
District #001, Electric Revenue,
6.00%, 1/1/13, Callable 1/1/03 @
102, FGIC.......................... 3,074
5,140 Snohomish County, School District
#006, Mukilteo, Refunding, GO,
5.70%, 12/1/12, FGIC............... 5,380
1,980 Snohomish County, School District
#15, Edmonds, GO, 6.00%, 12/1/05,
Callable 12/1/01 @ 100............. 2,016
3,525 Spokane & Whittman Counties, Cheney
School District #360-316, GO,
5.60%, 12/1/14, Callable 12/1/10 @
100................................ 3,582
3,000 State Public Power Supply System,
Nuclear Project #1, Revenue, Series
A, 6.00%, 7/1/06, MBIA............. 3,163
9,265 State Public Power Supply System,
Nuclear Project #1, Revenue, Series
A, 6.00%, 7/1/08, AMBAC............ 9,817
1,300 State Public Power Supply System,
Nuclear Project #1, Revenue, Series
B, 5.60%, 7/1/07................... 1,339
2,450 State Public Power Supply System,
Nuclear Project #2, Revenue, Series
B, 5.50%, 7/1/03................... 2,494
3,050 State Public Power Supply System,
Nuclear Project #2, Revenue, Series
A, 5.00%, 7/1/03................... 3,063
2,000 State Public Power Supply System,
Nuclear Project #2, Revenue, Series
A, 6.10%, 7/1/06................... 2,113
2,000 State Public Power Supply System,
Nuclear Project #2, Revenue, Series
A, 6.00%, 7/1/08, FSA.............. 2,119
1,000 State Public Power Supply System,
Nuclear Project #3, Revenue, Series
C, 4.90%, 7/1/04................... 1,000
3,000 State Public Power Supply System,
Nuclear Project #3, Revenue, Series
B, 5.65%, 7/1/08, MBIA............. 3,110
--------
48,249
--------
West Virginia (0.3%):
2,495 Harrison County, Community Special
Obligation, Series A, 6.25%,
5/15/10, ETM....................... 2,718
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Wisconsin (1.2%):
$ 2,000 Appleton Waterworks Revenue, 3.95%,
5/1/13, Callable 7/1/00 @ 100...... $ 1,946
1,070 Hortonville School District, GO,
5.25%, 4/1/18, Callable 4/1/08 @
100, AMBAC......................... 1,021
2,500 Southeast Professional Baseball Park,
Certificates of Participation,
0.00%, 12/15/07, MBIA.............. 1,704
4,625 State, GO, Series B, 7.00%, 5/1/03... 4,895
--------
9,566
--------
Wyoming (0.1%):
875 Community Development Authority,
Single Family Mortgage Revenue,
Series A, 7.25%, 6/1/07, Callable
6/1/01 @ 102, FHA.................. 886
--------
Total Municipal Bonds 656,466
--------
DAILY DEMAND NOTES (0.7%):
Indiana (0.7%):
5,110 Purdue University, Student Fee
Revenue, Series H, 4.80%, 7/1/17,
Callable 10/2/00 @ 100*............ 5,110
--------
Oklahoma (0.0%):
110 Canadian County, Home Finance
Authority, Single Family Mortgage
Revenue, Series A-2, 5.20%,
8/1/28*............................ 110
--------
Total Daily Demand Notes 5,220
--------
WEEKLY DEMAND NOTES (11.9%):
Alabama (0.7%):
5,100 Special Care Facilities Funding
Authority, Mobile Revenue,
Ascension Health Credit, Series B,
5.10%, 11/15/39*................... 5,100
--------
Colorado (0.9%):
7,050 Adams County, Multi-Family Housing
Revenue, Hunters Cove 85, Series A,
5.00%, 1/15/14, LOC: General
Electric Capital Corp.*............ 7,050
--------
Florida (1.0%):
7,900 Housing Finance Agency, 4.80%,
12/1/05, FHLMC* (b)................ 7,900
--------
Georgia (0.4%):
2,500 State, GO, 7.96%, 2/9/10, Callable
11/1/09 @ 102* (b)................. 2,805
--------
</TABLE>
Continued
44
<PAGE> 47
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Illinois (1.6%):
$ 7,235 Health Facilities Authority Revenue,
Palos Community Hospital, Series B,
4.80%, 12/1/15*.................... $ 7,235
6,000 Naperville, Heritage YMCA Group,
Inc., Revenue, 4.90%, 12/1/29, LOC:
Harris Trust & Savings Bank*....... 6,000
--------
13,235
--------
Maine (0.3%):
2,500 Regional Waste Systems, Inc., Maine
Solid Waste, Reserve Recovery
Revenue, Series K, 5.00%, 7/1/12,
LOC: Bayerische Landesbank*........ 2,500
--------
Maryland (0.4%):
2,850 Montgomery County Housing
Opportunities Community, Multi-
Family Housing Revenue, 4.90% ,
11/1/07, FHLMC*.................... 2,850
--------
Montana (1.0%):
7,595 State Health Facilities, Health Care
Pooled Loan Program, Series A,
4.80%, 12/1/15*.................... 7,595
--------
New Jersey (0.8%):
5,770 State Transportation Trust Fund,
Series K-21, 6.92%, 6/15/10* (b)... 6,382
--------
Ohio (3.1%):
24,500 Cuyahoga County Hospital Revenue,
Cleveland Clinic, Series A, 4.80%,
1/1/24, LOC: Chase Manhattan*...... 24,500
--------
Texas (0.2%):
1,200 State Department Housing & Community
Affairs, Multi-Family Housing
Revenue, Timber Point Apartments,
Series A-1, AMT, 5.00%, 9/1/32,
FHLMC*............................. 1,200
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Washington (1.5%):
$ 3,405 Grant City, Port District #1,
Industrial Development Corp.
Revenue, Dodson Road Orchards
L.L.C., AMT, 4.90%, 12/1/13*....... $ 3,405
4,100 Port Longview Industial Development,
Longview Fibre Co. Project, 4.90%,
12/1/14, LOC: Bank of Nova
Scotia*............................ 4,100
1,670 Seattle Housing Authority Revenue,
Pioneer Human Services Project,
4.70%, 12/1/15, LOC: U.S. Bank
N.A.*.............................. 1,670
2,300 Yakima County, Public Corp. Plastics,
Inc., 5.10%, 12/01/26, Callable
8/1/00 @ 100*...................... 2,300
--------
11,475
--------
Total Weekly Demand Notes 92,592
--------
MONTHLY DEMAND NOTES (1.1%):
Arizona (0.1%):
975 Pima County, IDA, Single Family
Mortgage Revenue, 6.00%, 6/1/28*... 975
--------
District of Columbia (0.7%):
4,780 Housing Finance Agency, Single Family
Mortgage Revenue, 6.00%,
12/1/33*........................... 4,780
--------
Idaho (0.3%):
2,500 Education Funding Association, Inc.,
Student Loan Revenue, Series B,
Class IV, AMT, 4.60%, 1/1/35,
GSL*............................... 2,500
--------
Total Monthly Demand Notes 8,255
--------
INVESTMENT COMPANIES (0.6%):
360 Nuveen Premium Income Municipal
Fund............................... 4,275
--------
Total Investment Companies 4,275
--------
Total (Cost $763,683) (a) $766,808
========
</TABLE>
------------
Percentages indicated are based on net assets of $777,074.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by net unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 8,929
Unrealized depreciation...................... (5,804)
-------
Net unrealized appreciation (depreciation)... $ 3,125
=======
</TABLE>
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $17,087 or 2.20% of net assets.
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
45
<PAGE> 48
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (97.7%):
Alabama (2.0%)
$ 5,000 Courtland Industrial Development
Board, Solid Waste Disposal
Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102...... $ 4,890
8,000 State Public School & College
Authority, Series C, 5.75%,
7/1/17............................. 8,127
--------
13,017
--------
Alaska (1.4%):
3,485 Energy Authority Power, Revenue,
Bradley Lake-Fourth Series, 6.00%,
7/1/17, FSA........................ 3,686
3,915 Energy Authority Power, Revenue,
Bradley Lake-Fourth Series, 6.00%,
7/1/19, FSA........................ 4,113
1,000 Student Loan Revenue, State Assisted,
Series A, AMT, 6.13%, 7/1/05,
Callable 7/1/02 @ 100, AMBAC....... 1,019
--------
8,818
--------
Arizona (0.7%):
2,500 Maricopa County School District #028,
GO, Series B, 6.00%, 7/1/14,
Callable 7/1/04 @ 100, FGIC........ 2,585
1,090 Show Low, IDA, Hospital Revenue,
Navapache Regional Medical Center,
Series A, 5.25%, 12/1/10, ACA...... 1,069
1,170 Show Low, IDA, Hospital Revenue,
Navapache Regional Medical Center,
Series A, 5.30%, 12/1/11, ACA...... 1,144
--------
4,798
--------
California (5.1%):
2,000 Anaheim Public Finance Authority,
Revenue, Public Improvements
Project, Series C, 6.00%, 9/1/16,
FSA................................ 2,181
4,900 Orange County Recovery, Certificates
of Participation, Series A, 5.70%,
7/1/10, Callable 7/1/06 @ 102,
MBIA............................... 5,209
5,315 Orange County Recovery, Certificates
of Participation, Series A, 5.80%,
7/1/16, Callable 7/1/06 @ 102,
AMBAC.............................. 5,485
1,000 Sacramento Cogeneration Authority,
Revenue, 6.00%, 7/1/03............. 1,025
1,500 Sacramento Cogeneration Authority,
Revenue, 7.00%, 7/1/05............. 1,612
2,500 Sacramento Cogeneration Authority,
Revenue, 6.20%, 7/1/06, Callable
7/1/05 @ 102....................... 2,614
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
California, continued:
$ 1,500 Sacramento Municipal Utilities,
Revenue, 5.75%, 1/1/10, Callable
1/1/04 @ 102, MBIA................. $ 1,571
6,650 San Bernardino City University School
District, GO, Series A, 5.75%,
8/1/19, FGIC....................... 6,769
6,500 State Public Works Board, Revenue,
Department of Corrections, Series
A, 5.25%, 1/1/21, Callable 1/1/06 @
100, AMBAC......................... 6,206
--------
32,672
--------
Colorado (4.1%):
2,280 Denver, City & County Airport
Revenue, Series A, AMT, 8.50%,
11/15/23, Callable 11/15/00 @
102................................ 2,352
2,095 Denver, City & County Airport
Revenue, Series A, AMT, 8.00%,
11/15/25, Callable 11/15/00 @
102................................ 2,157
3,000 Denver, City & County Airport
Revenue, Series B, AMT, 7.25%,
11/15/05, Callable 11/15/02 @
102................................ 3,173
2,000 Denver, City & County Airport
Revenue, Series C, AMT, 6.50%,
11/15/06, Callable 11/15/02 @
102................................ 2,081
6,925 Denver, City & County Airport
Revenue, Series D, AMT, 7.75%,
11/15/13, Callable 11/15/07 @
100................................ 8,137
12,480 E-470 Public Highway Authority,
Revenue, Capital Appreciation,
Series B, 0.00%, 9/1/24, MBIA...... 2,914
2,245 Health Facilities Authority, Revenue,
5.38%, 1/1/16, Callable 1/1/08 @
101................................ 1,849
3,605 Mountain Village Metropolitan
District, San Miguel County, Refund
& Improvement, GO, 5.25%, 12/1/13,
Callable 12/1/08 @ 100, MBIA....... 3,582
--------
26,245
--------
Connecticut (1.3%):
3,400 Housing Finance Authority, Revenue,
Mortgage Subseries D-1, 5.90%,
5/15/16, Callable 5/15/06 @ 102.... 3,431
5,000 State, GO, Series A, 5.63%, 5/15/13,
Callable 5/15/06 @ 101............. 5,124
--------
8,555
--------
</TABLE>
Continued
46
<PAGE> 49
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida (4.0%):
$ 4,000 Gainesville Utilities System,
Revenue, Series A, 5.00%, 10/1/16,
Callable 10/1/06 @ 102............. $ 3,768
4,000 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/19, ACA........ 1,280
2,255 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/20, ACA........ 675
4,265 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/22, ACA........ 1,124
12,100 State Board of Education, Capital
Outlay, GO, 6.40%, 6/1/19, Callable
6/1/02 @ 101....................... 12,537
7,000 Tampa, Water & Sewer, Revenue, 5.50%,
10/1/29............................ 6,786
--------
26,170
--------
Georgia (6.4%):
5,000 Atlanta, Airport Revenue, Series A,
5.50%, 1/1/26, Callable 1/1/12 @
100, FGIC.......................... 4,818
4,000 Forsyth County School District, GO,
5.75%, 2/1/17, State Aid
Withholding........................ 4,073
3,700 Forsyth County School District, GO,
5.75%, 2/1/19, State Aid
Withholding........................ 3,729
5,000 Fulton County School District, GO,
6.38%, 5/1/10...................... 5,471
650 State Housing & Finance Authority,
Revenue, Series B, 6.10%, 12/1/12,
Callable 6/1/05 @ 102, FHA......... 657
9,500 State, GO, 7.10%, 9/1/09............. 11,000
10,000 State, GO, 6.75%, 9/1/11............. 11,442
--------
41,190
--------
Hawaii (1.2%):
6,320 Honolulu City & County, GO, Series B,
8.00%, 10/1/10..................... 7,737
--------
Idaho (0.4%):
2,320 University Revenues, Student Fee,
Recreation Center Project, 6.00%,
4/1/14, FSA........................ 2,440
--------
Illinois (8.6%):
10,000 Chicago Board of Education, Capital
Appreciation School Reform B-1,
0.00%, 12/1/22, FGIC............... 2,594
5,000 Chicago O'Hare International Airport,
Revenue, Series A, 5.63%, 1/1/13,
Callable 1/1/06 @ 102, AMBAC....... 5,067
5,000 Chicago O'Hare International Airport,
Revenue, Series A, 5.63%, 1/1/14,
Callable 1/1/06 @ 102, AMBAC....... 5,046
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 1,750 Chicago Public Building Commission,
Revenue, Series A, 7.00%, 1/1/20,
Callable 12/1/05 @ 102, MBIA....... $ 2,020
5,000 Cook County Community College,
Certificates of Participation,
Series C, 7.70%, 12/1/04, MBIA..... 5,571
1,750 Du Page County, Forest Preservation
District, Refunding, 6.00%,
11/1/03............................ 1,818
1,000 Health Facilities Authority, Revenue,
Northwestern Memorial Hospital,
Series A, 5.60%, 8/15/06, Callable
8/15/04 @ 102...................... 1,027
1,000 Health Facilities Authority, Revenue,
Refunding, 6.00%, 8/15/05, FGIC.... 1,045
2,500 Housing Development Authority,
Revenue, Series 3, 6.10%, 9/1/13,
Callable 9/1/03 @ 102.............. 2,523
1,635 Housing Development Authority,
Revenue, Series A, 5.95%, 7/1/21,
Callable 7/1/05 @ 102, AMBAC....... 1,623
7,000 Metropolitan Pier & Exposition
Authority, Dedicated State Tax
Revenue, 5.50%, 12/15/24........... 6,714
4,000 Northlake, GO, 5.60%, 12/1/14,
Callable 12/1/05 @ 102, MBIA....... 4,047
6,000 Regional Transportation Authority,
6.50%, 7/1/30, MBIA................ 6,672
3,225 Sales Tax Revenue, Series P, 6.50%,
6/15/22............................ 3,558
1,000 St. Clair County, GO, 8.00%, 12/1/02,
MBIA............................... 1,075
1,095 St. Clair County, GO, 8.00%, 12/1/03,
MBIA............................... 1,205
3,600 Winnebago & Boone Counties, GO,
7.35%, 2/1/04, FSA................. 3,901
--------
55,506
--------
Indiana (10.7%):
400 Ball State University, Revenue,
Series G, 6.13%, 7/1/09, Callable
7/1/02 @ 102, FGIC................. 419
150 Ball State University, Revenue,
Series H, 6.15%, 7/1/05, FGIC...... 158
1,550 Beech Grove School Building Corp.,
Revenue, 6.25%, 7/5/16, Callable
1/5/11 @ 100, MBIA................. 1,682
1,000 Brownsburg School Building Corp.,
Revenue, 6.10%, 2/1/13, Callable
2/1/05 @ 102, FGIC................. 1,068
</TABLE>
Continued
47
<PAGE> 50
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 1,015 Cloverdale School Building Corp.,
6.38%, 7/15/13, Callable 1/15/02 @
101................................ $ 1,052
100 Eagle Union Elementary School
Building Corp., 9.25%, 1/1/03,
Callable 7/1/00 @ 101.............. 110
2,000 East Allen Elementary School District
Corp., Revenue, 5.88%, 7/1/12,
Callable 7/1/06 @ 102, FSA......... 2,083
1,000 Evansville Vanderburgh Corp.,
Revenue, 5.80%, 8/15/16, Callable
8/1/06 @ 102, MBIA................. 1,017
450 Fort Wayne South Side, Revenue,
6.13%, 1/15/12, Callable 1/15/04 @
102, MBIA.......................... 477
500 Franklin Community School Building
Corp., Revenue, 5.85%, 7/15/11,
Callable 7/15/06 @ 102, FSA........ 521
2,000 Franklin Community School Building
Corp., Revenue, 6.00%, 1/15/13,
Callable 7/15/06 @ 102, FSA........ 2,087
500 Greencastle NE Elementary School
Building Corp., 6.63%, 1/15/14,
Callable 1/15/03 @ 101............. 520
1,000 Hamilton County Public Building
Corp., Series A, 6.25%, 1/20/12,
Callable 7/20/02 @ 102............. 1,045
300 Hamilton Southeastern Construction
School Building, Revenue, 6.00%,
1/15/14, Callable 7/15/05 @ 102,
AMBAC.............................. 320
500 Hammond Multi-School Building Corp.,
Revenue, Series A, 6.15%, 7/10/10,
Callable 1/10/03 @ 102............. 514
1,000 Health Facility Finance Authority,
Revenue, Series A, 6.00%, 9/1/05... 1,049
1,000 Health Facility Finance Authority,
Revenue, Series A, 5.50%, 2/15/16,
Callable 2/15/07 @ 102............. 954
200 Indiana State University, Revenue,
Series G, 6.60%, 7/1/04, Callable
7/1/00 @ 102....................... 213
1,000 Indiana State Vocational Technology
College, Revenue, Series D, 5.90%,
7/1/06, Callable 1/1/05 @ 102,
AMBAC.............................. 1,050
350 Indiana State Vocational Technology
College, Series D, 6.40%, 7/1/10,
Callable 1/1/05 @ 102, AMBAC....... 374
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 5,000 Indiana University, Revenue, Series
K, 5.88%, 8/1/20, Callable 11/1/02
@ 102, MBIA........................ $ 5,017
180 Indianapolis Gas Utilities, Revenue,
7.00%, 6/1/08, Callable 6/1/01 @
100................................ 193
200 Lafayette Redevelopment Authority,
Economic Development, 6.70%,
2/1/10, Prerefunded 8/1/04 @ 102,
MBIA............................... 217
255 Lafayette Redevelopment Authority,
Economic Development, 6.80%,
8/1/10, Prerefunded 8/1/04 @ 102,
MBIA............................... 278
525 Merrillville Multi-School Building
Corp., 6.45%, 7/1/04, Callable
1/1/04 @ 100....................... 556
1,500 Metro School District Building Corp.,
6.90%, 1/1/18, Callable 1/1/05 @
102................................ 1,650
3,000 Municipal Power Agency Supply System,
Revenue, Series B, 5.50%, 1/1/16,
Callable 1/1/14 @ 100, MBIA........ 3,017
250 North Warrick County School Building,
10.00%, 1/1/04, Callable 7/1/03 @
101................................ 291
500 Purdue University, Certificates of
Participation, 6.20%, 7/1/15,
Callable 7/1/04 @ 100.............. 524
1,000 Seymour Community High School
Building Corp., Revenue, 6.25%,
1/15/14, Callable 1/15/05 @ 101,
FGIC............................... 1,066
900 South Bend Community School Building
Corp., 5.70%, 8/1/17, Callable
8/1/07 @ 101, FSA.................. 947
1,500 South Bend Community School Building
Corp., Revenue, 5.70%, 8/1/19,
Callable 8/1/07 @ 101, FSA......... 1,578
1,360 South Harrison Community School
Building Corp., Revenue, 5.80%,
7/15/11, Callable 1/15/03 @ 102.... 1,412
710 South Newton School Building Corp.,
Revenue, 5.80%, 7/15/12, Callable
1/15/05 @ 102, MBIA................ 732
1,000 St. Joseph County Hospital Facilities
Authority, Revenue, 6.25%, 8/15/12,
Callable 2/15/03 @ 102, MBIA....... 1,054
450 State Educational Facilities
Authority, Revenue, Series B,
6.60%, 1/1/11, Callable 1/1/02 @
102, MBIA.......................... 469
1,000 State Educational Facilities
Authority, Revenue, 6.00%, 7/1/12,
Callable 7/1/06 @ 101.............. 1,062
</TABLE>
Continued
48
<PAGE> 51
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 750 State Educational Facilities
Authority, Revenue, 6.00%, 6/1/15,
Callable 6/1/06 @ 102, MBIA........ $ 776
850 State Housing Finance Authority,
Multi-Unit Mortgage, 6.60%, 1/1/12,
Callable 1/1/03 @ 102.............. 878
1,150 State Office Building Commission,
Revenue, Series A, 5.50%, 7/1/12,
Callable 7/1/05 @ 102, AMBAC....... 1,164
2,000 State Office Building Common,
Revenue, 6.40%, 7/1/11, Callable
12/1/01 @ 102...................... 2,089
500 State Recreational Development
Commission, Revenue, Series B,
6.00%, 7/1/09...................... 516
2,100 Terre Haute North/South, Revenue,
5.80%, 7/1/13, Callable 7/1/03 @
102................................ 2,103
500 Transportation Finance Authority,
Airport Facility Revenue, Series A,
6.00%, 11/1/14, Callable 11/1/05 @
102................................ 508
2,745 Transportation Finance Authority,
Revenue, 6.25%, 11/1/16,
Prerefunded 11/1/02 @ 102.......... 2,891
4,000 Transportation Finance Authority,
Revenue, Series A, 7.25%, 6/1/15... 4,708
755 Transportation Finance Authority,
Revenue, Series A, 6.25%, 11/1/16,
Callable 1/1/02 @ 102.............. 767
8,750 Transportation Finance Authority,
Revenue, Series A, 6.80%, 12/1/16,
Callable 12/1/10 @ 100............. 9,958
1,180 Vincennes Community School Building
Corp., Revenue, 6.00%, 7/1/09,
Callable 7/1/06 @ 102, FSA......... 1,249
300 Vinton Tecumseh School Building
Corp., 6.25%, 7/15/16, Callable
7/15/04 @ 102...................... 319
450 Wa-Nee Elementary/High School
Building Corp., Revenue, 6.50%,
7/15/10, Callable 1/15/04 @ 102.... 483
500 Wabash County School Building Corp.,
6.88%, 7/1/09, Callable 1/1/02 @
101................................ 518
1,000 Warsaw High School Building Corp.,
Revenue, 6.50%, 1/1/10, Callable
7/1/00 @ 102, MBIA................. 1,020
800 Westfield High School Building Corp.,
Revenue, 5.70%, 7/15/13, Callable
7/15/05 @ 102, AMBAC............... 844
1,000 Westfield High School Building Corp.,
Revenue, 5.80%, 7/15/18, Callable
7/15/05 @ 102, AMBAC............... 1,059
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 1,000 Whitko Middle School Building Corp.,
Revenue, 5.88%, 7/15/12, Callable
1/15/07 @ 102, FSA................. $ 1,039
--------
69,665
--------
Kentucky (0.6%):
4,090 Louisville & Jefferson County,
Metropolitan Sewer & Drain Systems,
5.63%, 5/15/17, Callable 11/15/09 @
101, FGIC.......................... 4,110
--------
Louisiana (2.4%):
7,970 Baton Rouge Sales & Use Tax,
Refunding, Public Improvement,
Series A, 5.25%, 8/1/12, Callable
8/1/08 @ 101.50, FGIC.............. 7,966
3,915 Shreveport, GO, Series A, 5.25%,
5/1/15, FGIC....................... 3,826
3,690 Shreveport, GO, Series A, 5.25%,
5/1/16, FGIC....................... 3,576
--------
15,368
--------
Maine (0.4%):
2,375 State Housing Authority, Mortgage
Purchase Revenue, Series A, 5.05%,
11/15/16, Callable 9/1/07 @
101.50............................. 2,364
--------
Maryland (0.4%):
2,250 State Community Development, Revenue,
6.20%, 4/1/14, Callable 4/1/05 @
102................................ 2,300
--------
Massachusetts (3.0%):
3,945 Boston, Series A, GO, 5.75%, 2/1/16,
Callable 2/1/10 @ 100.............. 4,034
3,595 Housing Finance Agency, Revenue,
6.00%, 12/1/15, Callable 12/1/05 @
102, AMBAC......................... 3,591
4,185 Massachusetts Bay Transportation
Authority, GO, General
Transportation Systems, Series A,
5.50%, 3/1/16...................... 4,182
2,265 State Industrial Finance Agency,
Revenue, 6.00%, 1/1/15, Callable
1/1/06 @ 102, MBIA................. 2,349
5,000 State, GO, Series B, 6.00%, 6/1/14,
Callable 6/1/10 @ 100.............. 5,269
--------
19,425
--------
</TABLE>
Continued
49
<PAGE> 52
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Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan (4.1%):
$ 1,500 Ann Arbor School District, 7.13%,
5/1/02............................. $ 1,564
1,500 Caledonia Community Schools, GO,
5.85%, 5/1/22, Callable 5/1/07 @
100, MBIA.......................... 1,585
320 Grand Traverse County Hospital,
5.80%, 7/1/03, Callable 7/1/02 @
102................................ 329
7,500 Municipal Bond Authority, Clean Water
Revenue, 5.50%, 10/1/19............ 7,338
5,000 Oakland County Educational, Revenue,
6.90%, 11/1/14, Callable 11/1/04 @
102................................ 5,495
1,450 State Housing Development Authority,
Revenue, Series C, 6.38%, 12/1/11,
Callable 12/1/04 @ 102............. 1,515
1,190 State Housing Development Authority,
Revenue, Series A, 7.30%, 12/1/09,
Callable 12/1/00 @ 100............. 1,216
5,000 State Housing Development Authority,
Revenue, Series D, 5.95%, 12/1/16,
Callable 12/1/06 @ 102............. 5,084
2,400 Traverse City Area Public School,
Series I, 5.70%, 5/1/11,
Prerefunded 5/1/05 @ 101, MBIA..... 2,512
--------
26,638
--------
Minnesota (1.7%):
5,565 State Housing Financing Agency,
Revenue, Series D, 5.90%, 8/1/15,
Callable 2/1/05 @ 102, MBIA........ 5,606
5,250 State, GO, 5.60%, 10/1/06,
Prerefunded 10/1/04 @ 100.......... 5,421
--------
11,027
--------
Mississippi (1.3%):
7,940 Mississippi Development, 6.00%,
7/1/20............................. 8,195
--------
Missouri (1.1%):
3,580 Clay County Public Building
Authority, Leasehold Revenue,
Refund Series A, 5.13%, 5/15/14,
Callable 5/15/08 @ 100, FSA........ 3,483
3,710 Sikeston Electric, Revenue, 6.00%,
6/1/05............................. 3,912
--------
7,395
--------
Nevada (1.9%):
5,145 Clark County, IDR, 7.20%, 10/1/22,
AMBAC.............................. 5,473
6,365 Washoe County School District, 5.88%,
6/1/16, FSA........................ 6,545
--------
12,018
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New Jersey (2.6%):
$ 7,000 State Refund, GO, Series D, 6.00%,
2/15/11............................ $ 7,520
9,000 State Transportation Trust Fund
Authority, Transportation Systems,
Series B, 5.25%, 6/15/12, Callable
6/15/07 @ 102...................... 9,029
--------
16,549
--------
New Mexico (0.5%):
3,355 State Mortgage Finance Authority,
Revenue, Single Family, 5.90%,
7/1/16, Callable 7/1/07 @ 102,
GNMA............................... 3,338
--------
New York (2.9%):
6,785 New York City, GO, Series A, 6.00%,
5/15/18, Callable 5/15/10 @ 101.... 6,955
3,500 New York City, GO, Series F, 5.25%,
8/1/16, MBIA....................... 3,376
1,500 New York City, Municipal Water
Financing Authority, Water & Sewer
System Revenue, Series B, 6.00%,
6/15/33............................ 1,525
5,000 State Dormitory Authority, Revenue,
5.88%, 7/1/08, Callable 7/1/06 @
102................................ 5,213
1,345 State Thruway Authority, Highway &
Bridge Trust Fund, Series A, 6.00%,
4/1/14, Callable 4/1/04 @ 102,
FGIC............................... 1,427
250 Triborough Bridge & Tunnel Authority,
Revenue, Series X, 6.63%, 1/1/12... 282
--------
18,778
--------
North Carolina (5.4%):
3,355 Charlotte Mecklenberg Hospital
Authority, Series A, 5.60%,
1/15/10, Callable 1/15/06 @ 102.... 3,426
3,510 Charlotte Mecklenberg Hospital,
Revenue, 5.90%, 1/15/16, Callable
1/15/06 @ 102...................... 3,555
3,200 Charlotte, GO, 5.50%, 6/1/17,
Callable 6/1/10 @ 102.............. 3,209
3,400 Charlotte, GO, 5.50%, 6/1/18,
Callable 6/1/10 @ 102.............. 3,394
4,400 Cumberland County, GO, 5.70%, 3/1/18,
Callable 3/1/10 @ 102.............. 4,471
</TABLE>
Continued
50
<PAGE> 53
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
North Carolina, continued:
$ 6,195 New Hanover County, Public
Improvements, GO, 5.75%, 11/1/18,
Callable 11/1/10 @ 102............. $ 6,346
1,195 State Housing Finance Agency,
Revenue, AMT, Single Family, Series
LL, 5.50%, 9/1/22.................. 1,197
3,995 State Housing Finance Agency,
Revenue, AMT, Single Family, Series
BB, 6.50%, 9/1/26, Callable 3/1/05
@ 102.............................. 4,055
4,900 State Housing Finance Agency,
Revenue, AMT, Single Family, Series
FF, 6.25%, 3/1/28.................. 4,983
--------
34,636
--------
North Dakota (0.6%):
4,325 Bismarck Health Care Facilities,
Revenue, St. Alexius Medical
Center, Series A, 5.25%, 7/1/15,
Callable 7/1/08 @ 102, FSA......... 4,107
--------
Ohio (4.0%):
7,000 Cleveland, Certificate of
Participation, Cleveland Stadium
Project, 5.25%, 11/15/13, Callable
11/15/07 @ 102, AMBAC.............. 6,956
4,000 Franklin County, Hospital Revenue,
Series A, 6.50%, 5/1/07............ 4,200
1,515 Housing Finance Agency, Mortgage
Revenue, Series A-1, 6.20%, 9/1/14,
GNMA............................... 1,561
3,000 Lucas County Hospital, Revenue,
Promedia Healthcare Obligation
Group, 5.63%, 11/15/14, AMBAC...... 3,038
250 State Building Authority, Revenue,
Series A, 6.13%, 10/1/09, Callable
10/1/02 @ 102...................... 263
1,000 State Public & Sewer Improvement, GO,
6.00%, 8/1/07, Callable 8/1/05 @
102................................ 1,067
5,000 State Turnpike Commission, Revenue,
Series A, 5.70%, 2/15/17,
Prerefunded 2/15/06 @ 102, MBIA.... 5,286
3,395 State, GO, 5.60%, 8/1/04, Callable
8/1/02 @ 102....................... 3,507
--------
25,878
--------
Oklahoma (0.4%):
2,755 McGee Creek Authority, Revenue,
6.00%, 1/1/23, Callable 1/1/14 @
100, MBIA.......................... 2,883
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon (1.3%):
$ 5,305 Clackamas County, School District
#62C, GO, 6.00%, 6/15/16, Callable
6/15/10 @ 100...................... $ 5,575
3,000 Department of Administrative
Services, Lottery Revenue, Series
B, 5.25%, 4/1/15, FSA.............. 2,956
--------
8,531
--------
Pennsylvania (1.3%):
4,440 Delaware County Authority, University
Revenue, Villanova University,
Series A, 5.50%, 12/1/13, Callable
12/1/12 @ 100, MBIA................ 4,552
3,675 Delaware River Port Authority,
Revenue, 5.63%, 1/1/16, FSA........ 3,729
--------
8,281
--------
Rhode Island (1.0%):
5,800 Depositors Economic Protection,
Revenue, Series A, 6.30%, 8/1/05,
FSA, MBIA.......................... 6,186
--------
South Carolina (0.3%):
2,000 Greenville Hospital System
Facilities, Revenue, Series A,
5.60%, 5/1/10, Callable 5/1/06 @
102................................ 2,024
--------
South Dakota (1.1%):
1,140 Building Authority Lease, Revenue,
6.63%, 9/1/12, AMBAC............... 1,206
2,500 Heartland Consumers Power District,
Electric Revenue, 6.00%, 1/1/17,
FSA................................ 2,641
2,300 State Housing Development Authority,
5.70%, 5/1/08, Callable 5/1/06 @
102................................ 2,344
1,000 State Housing Development Authority,
Revenue, 6.25%, 5/1/15, Callable
5/1/05 @ 102....................... 1,012
--------
7,203
--------
Tennessee (0.5%):
1,360 Knox County Health, Educational &
Housing Facilities Board, Revenue,
7.25%, 1/1/09, MBIA................ 1,554
1,300 Knox County Health, Educational &
Housing Facilities Board, Revenue,
7.25%, 1/1/10, MBIA................ 1,497
--------
3,051
--------
Texas (5.6%):
5,000 A & M University, Revenue, 5.38%,
5/15/16............................ 4,926
</TABLE>
Continued
51
<PAGE> 54
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 6,000 Brownsville Utilities System Revenue,
6.25%, 9/1/14, MBIA................ $ 6,503
8,590 Houston, Water & Sewer System,
Revenue, Series A, 5.38%, 12/1/27,
FGIC............................... 8,038
2,060 Richardson Hospital Authority,
Unrefunded-Richardson Medical,
6.50%, 12/1/12..................... 1,995
1,290 Richardson Hospital Authority,
Prefunded-Richardson Medical,
6.50%, 12/1/12..................... 1,373
5,000 State Public Finance Authority, GO,
Series B, 5.63%, 10/1/12, Callable
10/1/06 @ 100...................... 5,113
3,690 State Turnpike Authority, Dallas
Northway, Revenue, 5.25%, 1/1/23,
Callable 1/1/06 @ 102, FGIC........ 3,448
1,000 State, GO, Refunding, Series A,
6.00%, 10/1/05..................... 1,056
4,000 State, GO, College Student Loan, AMT,
6.50%, 8/1/07, Callable 8/1/02 @
100................................ 4,064
--------
36,516
--------
Utah (1.7%):
1,815 Board of Regents, Lease Revenue,
Refund Dixie College, Series A,
5.50%, 5/1/23, AMBAC............... 1,736
4,340 Salt Lake County, 5.50%, 10/1/11,
Callable 10/1/09 @ 100............. 4,446
4,590 State Housing Finance Agency,
Revenue, Single Family Mortgage
Issue A2, AMT, 6.25%, 7/1/25,
Callable 1/1/07 @ 102, FHA......... 4,638
--------
10,820
--------
Virginia (1.9%):
4,140 Norfolk Water, Revenue, 5.88%,
11/1/14, Callable 11/1/05 @ 102,
MBIA............................... 4,271
2,000 State Housing Development Authority,
Commonwealth Mortgage, Series H,
Subseries H-2, 6.20%, 1/1/08,
Callable 1/1/05 @ 102.............. 2,068
1,500 State Housing Development Authority,
Refunding, Series E, 5.60%,
11/1/10, Callable 11/1/03 @ 102.... 1,502
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Virginia, continued:
$ 4,500 State Housing Development Authority,
Commonwealth Mortgage, Series A,
7.10%, 1/1/17, Callable 1/1/02 @
102................................ $ 4,653
--------
12,494
--------
Washington (0.8%):
5,000 Seattle Municipal Light & Power,
Revenue, 6.00%, 10/1/18............ 5,168
--------
West Virginia (1.7%):
5,475 Braxton County Solid Waste Disposal,
Revenue, AMT, 6.13%, 4/1/26,
Callable 10/23/06 @ 102............ 5,309
5,250 GO, Highway Improvements, Fuel Sales
Tax Revenue, 5.75%, 6/1/13,
Callable 6/1/09 @ 101.............. 5,442
--------
10,751
--------
Wisconsin (1.3%):
1,370 Housing & Economic Development
Authority, Revenue, Home Ownership,
Series A, 6.15%, 9/1/17, Callable
3/1/05 @ 102....................... 1,367
4,000 State, GO, Series C, 6.00%, 5/1/19,
Callable 5/1/10 @ 100.............. 4,127
3,000 State Transportation, Revenue, Series
A, 5.50%, 7/1/11................... 3,084
--------
8,578
--------
Total Municipal Bonds 631,425
--------
DAILY DEMAND NOTES (0.6%):
Florida (0.6%):
4,000 Pinellas County, Health Facilities
Authority, Revenue, Hospital
Program, 4.60%, 12/1/15*........... 4,000
--------
Total Daily Demand Notes 4,000
--------
INVESTMENT COMPANIES (0.2%):
1,528 Provident Municipal Cash Fund........ 1,528
--------
Total Investment Companies 1,528
--------
Total (Cost $622,812) (a) $636,953
========
</TABLE>
Continued
52
<PAGE> 55
One Group Mutual Funds
Tax-Free Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
------------
Percentages indicated are based on net assets of $646,752.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by net unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $16,284
Unrealized depreciation...................... (2,143)
-------
Net unrealized appreciation (depreciation)... $14,141
=======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
53
<PAGE> 56
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS (91.8%):
Alabama (1.1%):
$ 4,890 Courtland Industrial Development
Board, Champion International
Corp. Project, 7.20%, 12/1/13,
Callable 5/14/02 @ 103............ $ 5,096
4,250 Courtland Industrial Development
Board, Solid Waste Disposal
Revenue, Champion International
Corp. Project, Series A, AMT,
6.50%, 9/1/25, Callable 9/1/05 @
102............................... 4,157
455 Housing Finance Authority, Single
Family Housing Revenue, Series A1,
5.80%, 10/1/08, Callable 4/1/05 @
102, GNMA......................... 465
785 Mobile Housing Assistance Corp.,
5.80%, 12/1/10, Callable 6/1/01 @
100, FHA.......................... 786
1,980 Mobile Housing Assistance Corp.,
6.50%, 12/1/21, Callable 6/1/01 @
100, FHA.......................... 1,981
----------
12,485
----------
Alaska (1.3%):
4,725 Anchorage Electric Utility, Revenue,
4.13%, 6/1/04, MBIA............... 4,535
510 Home Mortgage Revenue Refunding,
8.00%, 3/1/09, Callable 3/1/02 @
102, FNMA......................... 528
1,905 State Housing Finance Corp.,
Revenue, Series A-1, 5.30%,
12/1/12, Callable 12/1/07 @
101.50, MBIA...................... 1,867
8,440 State Housing Finance Corp., Series
A, 0.00%, 12/1/17, Callable 6/1/07
@ 54, MBIA........................ 2,946
1,725 State International Airports,
Revenue, Series A, AMT, 4.00%,
10/1/03, AMBAC.................... 1,654
2,750 Student Loan Corp., Series A, AMT,
5.75%, 7/1/14, Callable 7/1/07 @
100, AMBAC........................ 2,751
----------
14,281
----------
Arizona (2.2%):
3,030 Gila County, Certifications of
Participation, 6.40%, 6/1/14...... 3,027
895 Maricopa County, IDA, Multi-Family
Housing Revenue, 5.65%, 7/1/19,
Callable 7/1/09 @ 102, MBIA....... 880
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$11,705 Maricopa County, IDA, Revenue, Coral
Point Apartments, Series A, 4.95%,
3/1/28, Callable 3/1/06 @ 101..... $ 11,334
1,040 Phoenix, IDA, Single Family Mortgage
Revenue, 5.88%, 6/1/16, Callable
6/1/10 @ 102, GNMA/FNMA/ FHLMC.... 1,051
1,285 Pima County, IDA, Multi-Family
Housing Revenue, La Hacienda
Project, 7.00%, 12/20/31, Callable
6/20/12 @ 100, GNMA............... 1,403
350 Pima County, IDA, Single Family
Mortgage Revenue, Series A-1, AMT,
6.20%, 5/1/27, Callable 5/1/04 @
102, GNMA......................... 351
4,040 Pima County, IDA, Single Family
Mortgage Revenue, AMT, 5.80%,
11/1/32, Callable 5/1/10 @ 101,
GNMA/FNMA/FHLMC................... 4,065
1,545 Tuscon & Pima County, IDA, Single
Family Mortgage Revenue, Series
1A, AMT, 5.70%, 7/1/12, Callable
1/1/10 @ 101, FNMA/GNMA........... 1,556
1,000 Tuscon & Pima County, IDA, Single
Family Mortgage Revenue, Series
1A, AMT, 6.10%, 7/1/22, Callable
1/1/10 @ 101, FNMA/GNMA........... 1,005
----------
24,672
----------
Arkansas (0.4%):
194 Drew County, Public Facilities
Board, Single Family Housing
Revenue, Series A-2, 7.90%,
8/1/11, Callable 8/1/03 @ 103,
FNMA.............................. 201
73 Drew County, Public Facilities
Board, Single Family Housing
Revenue, Series B, 7.75%, 8/1/11,
Callable 2/1/04 @ 100............. 75
321 Jacksonville, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, Series A-2,
7.90%, 1/1/11, Callable 7/1/03 @
103, FNMA......................... 338
125 Jacksonville, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, Series B, 7.75%,
1/1/11, Callable 7/1/05 @ 103..... 129
</TABLE>
Continued
54
<PAGE> 57
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arkansas, continued:
$ 368 Lonoke County, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, Series A-2,
7.90%, 4/1/11, FNMA............... $ 385
114 Lonoke County, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, Series B, 7.38%,
4/1/11, Callable 4/1/03 @ 103..... 118
462 Pope County, Residential Facilities,
Single Family Housing Revenue,
Series B, 7.75%, 9/1/11, Callable
8/1/02 @ 102, FHA................. 478
1,270 State Development Authority, Single
Family Housing Revenue, Refunding,
Series A, 8.00%, 8/15/11, Callable
8/15/01 @ 103, FHA................ 1,322
2,815 State Development Finance Authority,
Revenue, Series 1, 0.00%,
6/1/15............................ 1,224
279 Stuttgart Public Facilities Board,
Single Family Mortgage Revenue,
Series A-2, 7.90%, 9/1/11,
Callable 9/1/03 @ 103, FNMA....... 294
155 Stuttgart Public Facilities Board,
Single Family Mortgage Revenue,
Series B, 7.75%, 9/1/11, Callable
3/1/06 @ 103...................... 162
----------
4,726
----------
California (2.0%):
4,749 Contra Costa County, Multi-Family
Mortgage Revenue, Crescent Park,
Series B, 7.80%, 6/20/34, Callable
6/20/04 @ 105, GNMA............... 5,167
1,080 Housing Finance Agency, Home
Mortgage Revenue, Series F, AMT,
7.50%, 2/1/23, Callable 8/1/05 @
102, FHA/VA....................... 1,133
575 Housing Finance Agency, Local or
Guaranteed Housing Revenue, Series
B, 8.63%, 8/1/15, Callable 8/1/00
@ 100, MBIA....................... 576
2,445 Los Angeles, Multi-Family Revenue,
Housing Earthquake Rehab
Projects -- B, AMT, 5.85%,
12/1/27, Callable 12/1/05 @ 102... 2,498
510 Redondo Beach, Redevelopment Agency,
Residential Mortgage Revenue,
Series B, 6.25%, 6/1/11, Callable
6/1/03 @ 100...................... 509
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
California, continued:
$ 560 Rural Home Mortgage Financing
Authority, Single Family Mortgage
Revenue, Series A, AMT, 7.75%,
5/1/27............................ $ 600
2,825 San Jose, Multi-Family Housing
Revenue, Helzer Courts Apartments,
Series A, AMT, 6.20%, 6/1/19,
Callable 12/1/09 @ 102............ 2,635
3,400 Statewide Community Development
Authority, Multi-Family Revenue,
Cudahy Gardens, Series J, AMT,
5.60%, 4/1/29, Callable 4/1/03 @
102, LOC: Swiss Bank.............. 3,361
4,390 Statewide Community Development
Authority, Multi-Family Revenue,
Irvine Apartments, Series A-2,
4.90%, 5/15/25, Putable 5/15/08 @
100............................... 4,188
2,000 Statewide Community Development
Authority, Multi-Family Revenue,
Irvine Apartments, Series A-3,
5.10%, 5/15/25, Callable 7/1/08 @
101............................... 1,899
----------
22,566
----------
Colorado (9.5%):
1,000 Arapahoe County School District
#005, Cherry Creek, GO, 6.00%,
12/15/14, Callable 12/15/09 @ 100,
State Aid Withholding............. 1,054
5,250 Arapahoe County, Highway Revenue,
Series C, 0.00%, 8/31/15, Callable
8/31/05 @ 48.60................... 1,970
2,250 Arapahoe County, Single Family
Mortgage, Revenue, 0.00%,
9/1/10............................ 1,306
4,920 Aurora, Industrial Development,
McKesson Corp., Series A, 5.38%,
12/1/11, Callable 12/1/02 @ 102... 4,933
5,030 Aurora, Single Family Mortgage
Revenue, Series A2, 0.00%, 9/1/15,
Prerefunded 3/1/13 @ 75.20........ 1,867
1,965 Brush Creek Metropolitan District,
GO, Refunding, 6.70%, 11/15/09,
Callable 11/15/03 @ 101........... 2,054
1,000 Denver City & County Special
Facilities, Airport Revenue,
Rental Car Project, Series A,
6.00%, 1/1/13, Callable 1/1/09 @
101............................... 1,041
</TABLE>
Continued
55
<PAGE> 58
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 2,000 Denver City & County, Airport
Revenue, Series B, AMT, 7.25%,
11/15/05, Callable 11/15/02 @
102............................... $ 2,116
15,125 Denver City & County, Mortgage
Revenue, Series A, AMT, 0.00%,
8/1/29, Callable 8/1/07 @ 26.95,
GNMA/FHLMC........................ 2,380
1,000 Denver City & County, Residential
Revenue, Single Family, Series A,
0.00%, 7/1/10, Callable 7/1/08 @
91.87............................. 567
9,850 Denver City & County, Residential
Revenue, Single Family, Series A,
0.00%, 7/1/14, Callable 7/1/08 @
73.56............................. 4,263
1,210 Eagle's Nest Metropolitan District,
GO, Refunding, 6.50%, 11/15/17,
Callable 9/1/10 @ 100............. 1,235
1,385 El Paso County School District #12,
GO, 6.00%, 9/15/13, Callable
12/1/02 @ 100..................... 1,468
69 El Paso County, Home Mortgage,
Series C, 8.30%, 9/20/18, GNMA.... 73
8,625 El Paso County, Single Family
Mortgage Revenue, Series A, AMT,
0.00%, 12/1/30, Callable 6/1/08
@ 29.35, GNMA/FNMA/FHLMC.......... 1,274
1,305 Englewood, Multi-Family Housing,
Marks Apartment Revenue, Series B,
6.00%, 12/15/18, Callable 12/15/03
@ 100, LOC: Citibank.............. 1,265
2,500 Englewood, Multi-Family Housing,
Marks Apartment Revenue, 6.65%,
12/1/26, Callable 12/1/06 @ 102... 2,460
2,000 Erie Water Enterprise, Revenue,
5.25%, 12/1/13, Callable 12/1/08 @
100, ACA.......................... 1,908
2,500 Health Facilities Authority,
Revenue, Steamboat Springs Health,
5.75%, 9/15/22, Callable 9/15/08 @
101............................... 2,053
3,000 Housing Finance Authority, Multi-
Family Housing Revenue, Series C3,
5.70%, 10/1/21, Callable 7/21/00 @
100, FHA.......................... 2,917
1,235 Housing Finance Authority, Multi-
Family Housing Revenue, Series A,
9.00%, 10/1/25, Callable 10/1/00 @
100, FHA.......................... 1,238
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 2,595 Housing Finance Authority, Multi-
Family Housing Revenue, Series B,
6.00%, 10/1/25, Callable 8/7/00 @
100, FHA.......................... $ 2,116
2,385 Housing Finance Authority, Multi-
Family Housing Revenue, Series A,
AMT, 6.65%, 10/1/28, Callable
4/1/05 @ 102...................... 2,445
85 Housing Finance Authority, Single
Family Housing Revenue, Sub-
Series A, AMT, 6.50%, 12/1/02..... 86
215 Housing Finance Authority, Single
Family Housing Revenue, Series E,
AMT, 6.25%, 12/1/09, Callable
12/1/04 @ 103..................... 216
400 Housing Finance Authority, Single
Family Housing Revenue, Series B,
6.13%, 5/1/13, Callable 11/1/04 @
103, FHA/VA....................... 406
1,000 Housing Finance Authority, Single
Family Housing Revenue, Series
C-2, 5.15%, 11/1/16, Callable
5/1/08 @ 102...................... 910
1,000 Housing Finance Authority, Single
Family Housing Revenue, Series
B-2. AMT, 7.10%, 4/1/17, Callable
4/1/10 @ 105...................... 1,099
510 Housing Finance Authority, Single
Family Housing Revenue, Series
C-2, 7.45%, 6/1/17, Callable
6/1/05 @ 105...................... 543
200 Housing Finance Authority, Single
Family Housing Revenue, Series
D-1, 6.60%, 8/1/17, Callable
8/1/01 @ 102, FHA/VA.............. 199
1,430 Housing Finance Authority, Single
Family Housing Revenue, Series
C-2, AMT, 8.40%, 10/1/21, Callable
4/1/10 @ 105...................... 1,568
170 Housing Finance Authority, Single
Family Housing Revenue, Series
A-3, AMT, 6.50%, 11/1/23, Callable
5/1/02 @ 102...................... 172
350 Housing Finance Authority, Single
Family Housing Revenue, Series B,
7.50%, 11/1/24, Callable 11/1/04
@ 105, FHA........................ 368
</TABLE>
Continued
56
<PAGE> 59
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 2,680 Housing Finance Authority, Single
Family Housing Revenue, Series
C-1, 7.65%, 12/1/25, Callable
6/1/05
@ 105............................. $ 2,823
2,150 Housing Finance Authority, Single
Family Housing Revenue, Series
B-2, AMT, 7.00%, 5/1/26, Callable
5/1/07 @ 105...................... 2,276
8,765 Housing Finance Authority, Single
Family Housing Revenue, Series
A-2, AMT, 7.25%, 5/1/27, Callable
5/1/07 @ 105...................... 9,373
3,500 Housing Finance Authority, Single
Family Housing Revenue, Series
C-1, AMT, 7.55%, 11/1/27, Callable
11/1/06 @ 105..................... 3,648
2,405 Housing Finance Authority, Single
Family Housing Revenue, Series
C-2, 7.45%, 11/1/27, Callable
5/1/06
@ 105............................. 2,551
2,495 Housing Finance Authority, Single
Family Housing Revenue, Series
C-2, AMT, 6.88%, 11/1/28, Callable
11/1/07 @ 105..................... 2,616
16,005 Housing Finance Authority, Single
Family Housing Revenue, Series
C-1, AMT, 0.00%, 11/1/29, Callable
5/1/08 @ 30.95.................... 2,451
4,000 Housing Finance Authority, Single
Family Housing Revenue, Series
B-2, AMT, 6.80%, 4/1/30, Callable
4/1/09 @ 105...................... 4,264
1,000 Housing Finance Authority, Single
Family Housing Revenue, Series
C-3, AMT, 7.15%, 10/1/30, Callable
4/1/10 @ 105...................... 1,109
2,000 Housing Finance Authority, Single
Family Housing Revenue, Series
B-2, AMT, 7.25%, 10/1/31, Callable
4/1/10 @ 105...................... 2,215
360 Jefferson County, Single Family
Mortgage Revenue, Refunding,
Series A, 8.88%, 10/1/13, Callable
4/1/01 @ 103, MBIA................ 373
7,525 Meridian Metropolitan District, GO,
7.50%, 12/1/11, Callable 12/1/01
@ 101............................. 7,819
3,500 Mesa County, Residential Revenue
Refunding, 0.00%, 12/1/11, ETM.... 1,886
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 9,000 Metropolitan Football Stadium,
District Sales Tax Revenue, Series
A, 0.00%, 1/1/07, MBIA............ $ 6,417
1,510 Pueblo County Certificate of
Participation, Capital
Construction Corp., 6.25%,
12/1/10........................... 1,532
600 San Miguel County, Mountain Village
Metropolitan District, GO, 7.95%,
12/1/03, Callable 12/1/02 @ 101... 624
1,720 San Miguel County, Mountain Village
Metropolitan District, GO, 8.10%,
12/1/11, Prerefunded 12/1/02
@ 101............................. 1,866
835 San Miguel County, Mountain Village
Metropolitan District, GO, 8.10%,
12/1/11, Callable 12/1/02 @ 101... 890
----------
104,303
----------
Connecticut (2.7%):
2,800 Bridgeport, GO, Series A, 5.50%,
7/15/08........................... 2,889
5,000 Bridgeport, GO, Series A, 6.00%,
7/15/13, Callable 7/15/10 @ 101... 5,301
4,350 Stamford, Housing Authority, Multi-
Family Housing Revenue, Rippowam
Project, 6.25%, 10/1/19, Callable
10/1/08 @ 103..................... 4,399
9,200 Stamford, Housing Authority, Multi-
Family Housing Revenue, Rippowam
Project, 6.38%, 10/1/29, Callable
10/1/08 @ 103..................... 9,329
3,625 State Health & Educational
Facilities Authority, University
Hartford Revenue, Series D, 6.75%,
7/1/12, Callable 7/1/02 @ 102,
ACA............................... 3,767
2,000 State Housing Finance Authority,
Multi-Family Housing Revenue, Sub-
Series B-1, 6.13%, 5/15/18,
Callable 5/15/05 @ 102............ 2,029
2,495 State Housing Finance Authority,
Single Family Housing Revenue,
Series A, 6.20%, 5/15/14, Callable
5/15/03
@ 102............................. 2,549
----------
30,263
----------
Delaware (0.5%):
5,490 Greystone Tax-Exempt Asset Trust,
Series 98-1, Class A-3, 4.40%,
11/20/04.......................... 5,473
----------
</TABLE>
Continued
57
<PAGE> 60
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
District of Columbia (0.6%):
$ 1,305 Housing Finance Agency, Multi-Family
Housing Revenue, Stanton Glenn
Apartments, 5.60%, 11/1/10,
Callable 5/1/10 @ 102, FHA........ $ 1,297
365 Housing Finance Agency, Single
Family Housing Revenue, Series A,
AMT, 5.50%, 12/1/06............... 368
285 Housing Finance Agency, Single
Family Housing Revenue, Series A,
AMT, 5.60%, 12/1/07............... 288
405 Housing Finance Agency, Single
Family Housing Revenue, Series A,
AMT, 5.65%, 12/1/08............... 409
415 Housing Finance Agency, Single
Family Housing Revenue, Series A,
AMT, 5.70%, 12/1/09............... 420
3,960 Washington DC Convention Center
Authority, Dedicated Tax Revenue,
4.75%, 10/1/04, AMBAC............. 3,946
----------
6,728
----------
Florida (4.5%):
1,070 Collier County, Housing Finance
Authority, Multi-Family Housing
Revenue, Whistlers Green, Series
A, AMT, 5.35%, 12/1/19, Callable
12/1/09 @ 102..................... 996
4,025 Duval County, Housing Finance
Authority, Single Family Housing
Revenue, Series C, 7.35%, 7/1/24,
Callable 1/1/01 @ 103, FGIC....... 4,148
5,000 Escambia County, Housing Finance
Authority, Single Family Housing
Revenue, AMT, 4.65%, 10/1/31,
Callable 4/1/08 @ 102, FNMA/
GNMA.............................. 4,838
255 Housing Finance Authority, Home
Ownership Revenue, 7.50%, 9/1/14,
Callable 9/1/00 @ 102, GNMA....... 261
2,010 Housing Finance Corp., Homeowner
Mortgage Revenue, Series 2, AMT,
4.75%, 7/1/19, Callable 6/1/07
@ 101.50, MBIA.................... 1,927
1,205 Housing Finance Corp., Homeowner
Mortgage Revenue, Series 2, AMT,
5.35%, 1/1/21, Callable 6/1/07
@ 101.50.......................... 1,122
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$ 2,680 Lee County, Housing Finance
Authority, Single Family Housing
Revenue, Series A-1, 7.20%,
3/1/27, Callable 3/1/07 @ 105,
GNMA/FNMA/ FHLMC.................. $ 2,846
955 Lee County, Housing Finance
Authority, Single Family Housing
Revenue, Series A-3, AMT, 6.40%,
3/1/28, Callable 3/1/08 @ 105,
GNMA/ FNMA/FHLMC.................. 980
2,850 Lee County, Housing Finance
Authority, Single Family Housing
Revenue, Series A-3, AMT, 5.05%,
3/1/29, Callable 3/1/08 @ 102,
GNMA/ FNMA/FHLMC.................. 2,738
1,780 Lee County, Housing Finance
Authority, Single Family Housing
Revenue, Series A, AMT, 6.85%,
3/1/29, Callable 9/1/07 @ 105,
FNMA/ GNMA/FHLMC.................. 1,895
590 Leon County, Housing Finance
Authority, Multi-County Program,
Series B, AMT, 7.30%, 1/1/28,
GNMA/FHLMC........................ 637
925 Manatee County, Housing Finance
Authority, Single Family Housing
Revenue, Sub-Series 1, AMT, 8.38%,
5/1/25, GNMA/FHLMC................ 966
2,250 Manatee County, Housing Finance
Authority, Single Family Housing
Revenue, Sub-Series 1, AMT, 7.20%,
5/1/28, Callable 5/1/07 @ 105,
GNMA/FNMA/FHLMC................... 2,444
1,445 Manatee County, Housing Finance
Authority, Single Family Housing
Revenue, Sub-Series 1, AMT, 6.25%,
11/1/28, Callable 11/1/09 @ 105... 1,472
2,000 Miami Beach, Health Facilities
Revenue, South Shore Hospital,
Series A, 5.25%, 8/1/13, Callable
8/1/08 @ 100, ACA................. 1,844
2,425 Miami-Dade County Housing Finance
Authority, Single Family Housing
Revenue, Series A-1, AMT, 5.90%,
6/1/25, Callable 6/1/08 @ 103,
FHLMC............................. 2,400
4,850 Miami-Dade County Housing, Multi-
Family Housing Revenue, 5.80%,
10/1/12........................... 4,868
</TABLE>
Continued
58
<PAGE> 61
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$ 2,900 Miami-Dade County Split Obligation,
Sub-Series A, 0.00%, 10/1/16,
Callable 4/1/08 @ 65.58, MBIA..... $ 1,121
140 Orange County, Housing Finance
Authority, Mortgage Revenue,
Series A, AMT, 7.25%, 9/1/19,
Callable 3/1/01 @ 103, FHA/VA..... 143
800 Orange County, Housing Finance
Authority, Mortgage Revenue,
Series A, AMT, 7.38%, 9/1/24,
Callable 3/1/01 @ 103, FHA/VA..... 824
1,315 Orange County, Housing Finance
Authority, Multi-Family Housing
Revenue, Loma Vista Project,
Series G, AMT, 5.40%, 9/1/19,
Callable 3/1/09 @ 102............. 1,182
1,020 Orange County, Housing Finance
Authority, Multi-Family Housing
Revenue, Loma Vista Project,
Series G, AMT, 5.45%, 9/1/24,
Callable 3/1/09 @ 102............. 894
450 Palm Beach County, Housing Finance
Authority, Single Family Housing
Revenue, Series A, AMT, 6.38%,
10/1/06, Callable 10/1/04 @ 102,
GNMA/FNMA......................... 454
65 Pinellas County, Housing Finance
Authority, Multi-Family Housing
Revenue, Tuscany Apartments
Project, Series A, AMT, 5.20%,
1/1/32, Callable 7/1/09 @ 102,
FNMA.............................. 59
2,040 Pinellas County, Housing Finance
Authority, Single Family Housing
Revenue, Series A, AMT, 6.25%,
8/1/12, Callable 2/1/05 @ 102,
GNMA/FNMA......................... 2,061
1,320 Santa Rosa Bay Bridge Authority,
Revenue, Capital Appreciation,
0.00%, 7/1/08, ACA................ 859
1,625 Santa Rosa Bay Bridge Authority,
Revenue, Capital Appreciation,
0.00%, 7/1/09, ACA................ 999
1,535 Santa Rosa Bay Bridge Authority,
Revenue, Capital Appreciation,
0.00%, 7/1/12, ACA................ 783
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$ 4,265 State Board of Education Capital
Outlay, GO, Series B, 5.00%,
6/1/12, Callable 6/1/01 @ 100..... $ 4,163
----------
49,924
----------
Georgia (1.4%):
1,550 Atlanta Urban Residential Finance
Authority, Single Family Housing
Revenue, 0.00%, 10/1/16,
Prerefunded 4/1/15 @ 85.46,
AMBAC/FNMA........................ 563
5,000 De Kalb County, Housing Authority,
Multi-Family Housing Revenue,
Friendly Hills Apartments, Series
A, AMT, 7.05%, 1/1/39, Callable
1/1/08 @ 104, FHA................. 5,291
1,765 Fulton County, Housing Authority,
Multi-Family Housing Revenue,
Concorde Place Apartments Project,
Series A, AMT, 6.30%, 7/1/16,
Callable 7/1/06 @ 102............. 1,891
1,055 Henry County Water & Sewer Authority
Revenue, 5.50%, 2/1/14, Callable
2/1/10 @ 101, FGIC................ 1,116
6,160 State, GO, Series C, 6.50%,
7/1/07............................ 6,752
----------
15,613
----------
Hawaii (1.0%):
8,500 State Department Budget & Finance
Special Purpose, Mortgage Revenue,
AMT, 6.66%, 11/1/21, Callable
11/1/01 @ 102..................... 8,557
3,000 State Housing Finance & Development
Corp., Single Family Housing
Revenue, Series C, AMT, 5.35%,
7/1/20, Callable 7/1/08 @
101.50............................ 2,722
----------
11,279
----------
Idaho (0.5%):
1,200 Housing & Finance Association,
Single Family Housing Revenue,
Sub-Series A, 5.35%, 7/1/11,
Callable 1/1/08 @ 101.50,
FHA/VA............................ 1,176
1,150 Housing & Finance Association,
Single Family Mortgage Revenue,
Series D, AMT, 6.45%, 7/1/14,
Callable 1/1/06 @ 102, FHA........ 1,173
</TABLE>
Continued
59
<PAGE> 62
One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Idaho, continued:
$ 1,750 Housing & Finance Association,
Single Family Mortgage Revenue,
Series H, AMT, 6.05%, 7/1/14,
Callable 1/1/07 @ 102, FHA/VA..... $ 1,744
925 Housing & Finance Association,
Single Family Mortgage Revenue,
Series E-2, AMT, 5.95%, 7/1/14,
Callable 1/1/07 @ 101.50.......... 923
95 Housing Agency, Single Family
Mortgage Revenue, Series E, AMT,
6.30%, 7/1/24, Callable 1/1/03 @
102............................... 94
----------
5,110
----------
Illinois (6.4%):
12,410 Aurora, Multi-Family Housing
Revenue, Covey Fox Valley
Apartments Project, 5.30%,
11/1/27, Callable 11/1/05
@ 101............................. 12,283
135 Aurora, Single Family Mortgage
Revenue Refunding, Series B, AMT,
8.05%, 9/1/25, GNMA/FHLMC......... 141
620 Bolingbrook, Mortgage Revenue, Sub-
Series 1, 0.00%, 1/1/11, Callable
1/1/02 @ 53.10.................... 290
4,440 Chicago Metropolitan Housing
Development Corp., Multi-Family
Housing Revenue, Series A, 6.70%,
7/1/12, Callable 7/1/02 @ 102..... 4,609
575 Chicago, Residential Mortgage
Revenue, Series B, 0.00%, 10/1/09,
MBIA.............................. 306
2,000 Chicago, Single Family Mortgage
Revenue, Series A, AMT, 5.60%,
9/1/19, Callable 3/1/10 @ 102,
GNMA/FNMA/FHLMC................... 2,006
815 Chicago, Single Family Mortgage
Revenue, Series B, AMT, 7.63%,
9/1/27, Callable 6/15/06 @ 105,
GNMA/FNMA/FHLMC................... 888
2,995 Chicago, Single Family Mortgage
Revenue, Series A, AMT, 7.00%,
9/1/27, Callable 3/1/06 @ 105,
GNMA/FNMA/FHLMC................... 3,137
1,875 Chicago, Single Family Mortgage
Revenue, Series A, AMT, 7.25%,
9/1/28, Callable 9/1/07 @ 105,
GNMA/FNMA/FHLMC................... 2,008
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 7,245 Chicago, Single Family Mortgage
Revenue, Series A, AMT, 7.15%,
9/1/31, Callable 3/1/10 @ 105,
GNMA/FNMA/FHLMC................... $ 7,968
1,195 Clay County, Hospital Revenue,
5.70%, 12/1/18, Callable 12/1/08 @
102............................... 981
1,070 Clay County, Hospital Revenue,
5.90%, 12/1/28, Callable 12/1/08 @
102............................... 867
1,000 Cook County Community High School
District #219, Niles Township, GO,
5.88%, 12/1/12, Callable 12/1/10
@ 100, FGIC....................... 1,054
2,660 Cook County Community High School
District #219, Niles Township, GO,
5.88%, 12/1/13, Callable 12/1/10
@ 100, FGIC....................... 2,787
2,265 Cook County, High School District
#200, Oak Park, GO, 0.00%,
12/1/12, Callable 12/1/11 @ 97.61,
FSA............................... 1,126
385 Danville, Single Family Mortgage
Revenue Refunding, 7.30%, 11/1/10,
Callable 11/1/03 @ 102............ 394
3,430 Development Finance Authority,
Multi-Family Housing Revenue,
Series A, 6.50%, 7/20/15, Callable
7/20/10
@ 105............................. 3,694
4,465 Development Finance Authority,
Multi-Family Housing Revenue,
Series A, 6.60%, 7/20/21, Callable
7/20/10
@ 105............................. 4,766
1,570 Freeport, Single Family Mortgage
Revenue, 0.00%, 8/1/10, Callable
10/1/01 @ 48.96................... 697
2,000 Health Facilities Authority,
Revenue, Victory Health Services,
Series A, 5.38%, 8/15/16, Callable
8/15/07
@ 101............................. 1,742
250 Housing Development Authority,
Single Family Housing Revenue,
Series A, AMT, 7.35%, 8/1/10,
Callable 8/1/01 @ 102............. 255
4,685 Moline, Mortgage Revenue, Sub-
Series 1, 0.00%, 5/1/11, Callable
5/1/02 @ 54.02.................... 2,125
505 Quincy, Single Family Mortgage
Revenue Refunding, 6.88%, 3/1/10,
Callable 3/1/04 @ 102............. 516
</TABLE>
Continued
60
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 225 Rock Island, Residential Mortgage
Revenue Refunding, 7.70%, 9/1/08,
Callable 9/1/02 @ 102............. $ 232
7,000 Sports Facility Authority, Sports
Facilities, Series A, AMT, 4.00%,
6/15/03, MBIA..................... 6,749
6,500 Student Assistance Community,
Student Loan Revenue, Series UU,
AMT, 5.15%, 9/1/03, Callable
8/7/00
@ 100............................. 6,525
2,225 Winnebago County, School District
#122, 0.00%, 1/1/12, FSA.......... 1,185
----------
69,331
----------
Indiana (1.6%):
1,000 South Bend Parking Revenue, 6.20%,
1/1/08, Callable 7/1/00 @ 101..... 1,023
3,500 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series A-2, AMT, 6.45%, 7/1/14,
Callable 7/1/05 @ 102, FHA/VA..... 3,553
935 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series D-1, 6.05%, 7/1/15,
Callable 7/1/06 @ 102,
GNMA/FNMA......................... 941
3,820 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series A-2, 5.15%, 7/1/17,
Callable 1/1/08 @ 101.50,
FNMA/GNMA......................... 3,531
330 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series B-2, AMT, 7.80%, 1/1/22,
Callable 7/1/00 @ 102, GNMA....... 337
3,130 State Toll Finance Authority, Toll
Road Revenue, 6.00%, 7/1/15,
Callable 7/1/00 @ 100............. 3,131
5,000 Transportation Highway Finance
Authority, Revenue, Series A,
5.75%, 6/1/12, AMBAC.............. 5,244
----------
17,760
----------
Iowa (0.4%):
325 Davenport, Home Ownership Mortgage
Revenue Refunding, 7.90%, 3/1/10,
Callable 9/1/04 @ 102............. 333
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Iowa, continued:
$ 645 Finance Authority, Multi-Family
Mortgage Revenue, Prestwick
Apartments Project, AMT, 7.15%,
12/1/09, FHA...................... $ 667
4,335 Finance Authority, Single Family
Mortgage Revenue, 0.00%, 9/1/16,
AMBAC............................. 726
310 Finance Authority, Single Family
Mortgage Revenue, AMT, 7.90%,
11/1/22, GNMA..................... 317
2,040 Finance Authority, Single Family
Mortgage Revenue, Mortgage Backed
Securities Program, Series C,
6.40%, 7/1/19, Callable 1/1/05 @
102, GNMA/FNMA.................... 2,066
760 Salix, PCR, Gas & Electric Project,
5.75%, 6/1/03, Callable 12/1/00
@ 100............................. 762
----------
4,871
----------
Kansas (1.6%):
415 Ford County, Single Family Mortgage
Revenue, Series A, 7.90%, 8/1/10,
Callable 8/1/02 @ 103, FHA/VA..... 431
1,110 Johnson County, Single Family
Mortgage Revenue, 7.10%, 5/1/12,
Callable 5/1/04 @ 103............. 1,151
225 Labette County, Single Family
Mortgage Revenue, Series A, 8.40%,
12/1/11, Callable 6/1/03 @ 103.... 232
125 Olathe & Labette County, Single
Family Mortgage Revenue, Series
A-I, AMT, 8.10%, 8/1/23, Callable
2/1/05 @ 105, GNMA................ 134
1,005 Olathe County, Multi-Family Housing
Revenue, Series B, AMT, 5.80%,
7/1/12, Callable 7/1/07 @ 101..... 984
2,505 Olathe County, Multi-Family Housing
Revenue, Series A, 5.75%, 7/1/12,
Callable 7/1/07 @ 101............. 2,462
235 Reno County, Single Family Mortgage
Revenue, Series B, 8.70%, 9/1/11,
Callable 9/1/01 @ 103............. 246
250 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series
B-1, 8.05%, 5/1/14, GNMA.......... 259
</TABLE>
Continued
61
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kansas, continued:
$ 180 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series
B-2, 7.80%, 5/1/14, Callable
11/1/04 @ 103, GNMA............... $ 190
325 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series
C-2, 7.80%, 11/1/24, Callable
11/1/04 @ 105, GNMA............... 347
23,380 Sedgwick & Shawnee County, Single
Family Revenue, Series A1, AMT,
0.00%, 12/1/29, Callable 6/1/08 @
31.41, GNMA....................... 3,770
5,820 Sedgwick & Shawnee County, Single
Family Revenue, Mortgage Backed
Securities Program-A1, AMT, 5.50%,
12/1/22, Callable 6/1/08 @ 105,
GNMA.............................. 6,077
975 Shawnee County, Single Family
Mortgage Revenue, 0.00%, 10/1/16,
Callable 10/1/00 @ 20.03, MBIA.... 186
1,200 State Development Finance Authority,
Multi-Family Housing Revenue,
Series O, 6.50%, 6/20/34, Callable
6/20/09 @ 104, GNMA............... 1,234
480 Wichita, Single Family Mortgage
Revenue, Series A, 7.10%, 9/1/09,
Callable 3/1/03 @ 103............. 489
----------
18,192
----------
Kentucky (0.7%):
1,150 Bowling Green, GO, 5.30%, 6/1/14,
Callable 6/1/10 @ 101............. 1,140
1,210 Bowling Green, GO, 5.30%, 6/1/15,
Callable 6/1/10 @ 101............. 1,193
1,275 Bowling Green, GO, 5.30%, 6/1/16,
Callable 6/1/10 @ 101............. 1,247
1,345 Bowling Green, GO, 5.30%, 6/1/17,
Callable 6/1/10 @ 101............. 1,306
1,415 Bowling Green, GO, 5.30%, 6/1/18,
Callable 6/1/10 @ 101............. 1,366
135 Housing Corp., Single Family Housing
Revenue, Series D, AMT, 6.13%,
7/1/22, Callable 7/1/04 @ 102,
FHA/ VA........................... 136
1,275 Meade County, PCR, Olin Corp.
Project, 6.00%, 7/1/07, Callable
7/1/00 @ 100...................... 1,276
----------
7,664
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana (3.6%):
$ 900 Calcasieu Parish Public
Transportation, Single Family
Mortgage Revenue, Series B, 0.00%,
5/1/13, Callable 11/1/02 @
48.73............................. $ 365
1,135 Greater Baton Rouge Parking
Authority, Sales & Use Tax, 6.38%,
7/1/03, Callable 7/1/00 @ 100..... 1,136
485 Housing Finance Agency, Single
Family Mortgage Revenue, Series A,
AMT, 7.80%, 12/1/26, Callable
6/1/05 @ 105, AMBAC............... 521
185 Housing Finance Agency, Single
Family Mortgage Revenue, Series
D-2, AMT, 8.00%, 6/1/27, Callable
12/1/06 @ 102, GNMA/FNMA.......... 194
20 Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.75%, 12/1/28, Callable
6/1/07 @ 102, GNMA/FNMA........... 21
490 Iberia Home Mortgage Authority,
Single Family Mortgage Revenue
Refunding, 7.38%, 1/1/11, Callable
7/1/03 @ 103...................... 509
1,750 Jefferson Parish Home Mortgage
Authority, Single Family Mortgage
Revenue, Series D-1, 7.50%,
6/1/26, Callable 6/1/10 @ 105,
GNMA/ FNMA........................ 1,915
2,185 Jefferson Parish Home Mortgage
Authority, Single Family Mortgage
Revenue, Series C-1, 7.00%,
6/1/29, Callable 6/1/10 @ 105,
GNMA/ FNMA........................ 2,392
4,650 Lake Charles Harbor & Term,
Distribution Port Facilities
Revenue, Trunkline Lending Co.
Project, 7.75%, 8/15/22, Callable
8/15/02 @ 103..................... 4,979
2,000 Lake Charles Harbor & Term,
Distribution Revenue, Reynolds
Metals Co. Project, 5.50%, 5/1/06,
Callable 12/15/02 @ 101........... 1,991
2,000 New Orleans, GO, 5.50%, 12/1/18,
FGIC.............................. 1,985
10,500 Public Facilities Authority,
Multi-Family Housing Revenue,
8.00%, 11/1/05, Callable 11/1/00 @
100............................... 10,503
3,890 Public Facilities Authority,
Multi-Family Housing Revenue,
7.75%, 11/1/16, Callable 11/1/01 @
102............................... 4,062
</TABLE>
Continued
62
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 665 Public Facilities Authority, Single
Family Mortgage Revenue, Series C,
8.45%, 12/1/12, Callable 10/1/01 @
103, FHA/VA....................... $ 679
31 Public Facilities Authority, Single
Family Mortgage Revenue, 7.50%,
10/1/15, Callable 6/1/02 @ 103.... 32
3,095 Shreveport, GO, Series A, 6.00%,
5/1/09, FGIC...................... 3,303
5,975 St. Tammany Public Trust Financing
Authority, Revenue, Christwood
Project, 5.70%, 11/15/18, Callable
11/15/08 @ 102.................... 4,898
----------
39,485
----------
Maine (0.4%):
810 State Housing Authority, Single
Family Housing Revenue, Series I,
AMT, 0.00%, 11/1/10, Callable
11/1/06 @ 80.21................... 458
535 State Housing Authority, Single
Family Housing Revenue, Series I,
AMT, 0.00%, 11/1/11, Callable
11/1/06 @ 75.35................... 284
1,505 State Housing Authority, Single
Family Housing Revenue, Series C,
AMT, 6.10%, 11/15/16, Callable
11/15/06 @ 102.................... 1,526
2,500 State Housing Authority, Single
Family Housing Revenue, Series
B-1, 6.05%, 11/15/16, Callable
11/15/05 @ 102, AMBAC............. 2,545
----------
4,813
----------
Maryland (1.3%):
1,140 Baltimore County, Multi-Family
Housing Revenue, Series A, 0.00%,
9/1/24, Callable 9/1/07 @ 40.55,
FHA............................... 259
2,600 Baltimore Port Facilities Revenue,
6.50%, 12/1/10, Callable 6/1/02 @
103............................... 2,741
7,610 Prince Georges County Housing
Authority, Multi-Family Housing
Revenue, Foxglenn Apartments,
Series A, AMT, 0.00%, 5/20/22,
Callable 7/21/00 @ 29.01, GNMA.... 2,202
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Maryland, continued:
$ 5,460 Prince Georges County Housing
Authority, Residual Revenue,
0.00%, 11/1/20.................... $ 1,492
2,020 State Community Development
Administration, Single Family
Housing Revenue, 3rd Series, AMT,
4.10%, 4/1/03..................... 1,969
1,240 State Community Development, Multi-
Family Housing Revenue, Series E,
AMT, 6.85%, 5/15/25, Callable
5/15/04 @ 102, GNMA/FHA........... 1,285
3,900 Washington Suburban Sanitation
District, GO, 2nd Series, 6.40%,
1/1/08, Callable 1/1/02 @ 102..... 4,060
----------
14,008
----------
Massachusetts (1.9%):
3,635 Educational Financing Authority,
Education Loan Revenue, Issue E --
Series A, AMT, 3.90%, 7/1/03,
AMBAC............................. 3,491
3,860 State Health & Educational
Facilities Authority, Revenue,
Partners Healthcare System, Series
B, 4.05%, 7/1/04.................. 3,625
3,550 State Housing Finance Agency, Multi-
Family Housing Revenue, Series A,
6.38%, 4/1/21, Callable 4/1/03
@ 102............................. 3,592
1,000 State Housing Finance Agency, Single
Family Mortgage Revenue, Series
21, AMT, 7.13%, 6/1/25, Callable
6/1/02 @ 102...................... 1,026
1,590 State Industrial Finance Agency,
Revenue, University Commons,
6.55%, 8/1/18, Callable 2/1/08 @
105,
FHA............................... 1,656
2,000 State Industrial PCR, Eastern Edison
Co. Project, 5.88%, 8/1/08,
Callable 8/1/03 @ 102............. 1,984
6,215 State Port Authority, Revenue,
Series B, AMT, 4.35%, 7/1/04,
FSA............................... 6,028
----------
21,402
----------
Michigan (1.7%):
6,000 Detroit Development, Tax Increment,
Series A, 5.38%, 5/1/18, Callable
5/1/07 @ 101.50................... 5,633
</TABLE>
Continued
63
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$ 855 State Housing Development Authority,
Home Improvement Revenue, Series
B, AMT, 7.65%, 12/1/12, Callable
12/1/01 @ 100, FHA/VA............. $ 874
7,940 State Housing Development Authority,
Single Family Housing Revenue,
AMT, 6.30%, 6/1/27, Callable
12/1/05 @ 102..................... 8,004
4,845 Wayne Charter County Airport,
Revenue, Series A, AMT, 4.30%,
12/1/03, MBIA..................... 4,718
----------
19,229
----------
Minnesota (0.9%):
1,000 Anoka County Solid Waste Disposal
Revenue, Bational Rural Utility,
Series A, AMT, 6.95%, 12/1/08,
Callable 12/1/00 @ 102............ 1,029
1,200 Maplewood, Multi-Family Housing
Revenue, 6.50%, 9/1/24, Callable
9/1/04 @ 102, FHA................. 1,256
1,625 Minneapolis Community Development
Agency, Multi-Family Housing
Revenue, Riverside Homes Project,
6.10%, 9/1/19, Callable 9/1/09 @
102............................... 1,563
2,950 Minneapolis, Mortgage Revenue,
0.00%, 10/1/12, Callable 10/1/05 @
100............................... 1,318
2,000 Northern Municipal Power Agency,
Electric Systems Revenue, Series
A, 5.00%, 1/1/21, Callable 1/01/01
@ 100, MBIA....................... 1,815
2,975 State Housing Finance Agency, Single
Family Mortgage Revenue, Series A,
5.75%, 7/1/18, Callable 7/1/09 @
100............................... 2,936
----------
9,917
----------
Mississippi (1.5%):
1,440 Higher Education Assistance Corp.,
Student Loan Revenue, Series C,
AMT, 6.50%, 7/1/04, Callable
7/1/02 @ 102, GSL................. 1,499
1,000 Higher Education Assistance Corp.,
Student Loan Revenue, Series C,
AMT, 6.60%, 1/1/05, Callable
7/1/02 @ 102, GSL................. 1,041
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Mississippi, continued:
$ 600 Higher Education Assistance Corp.,
Student Loan Revenue, Series C,
AMT, 6.05%, 9/1/07, Callable
9/1/02 @ 102, GSL................. $ 604
575 Home Corp., Single Family Mortgage
Revenue, Access Program, Series F,
AMT, 7.10%, 12/1/10, Callable
12/1/04 @ 103, GNMA............... 566
1,500 Home Corp., Single Family Mortgage
Revenue, Access Program, Series B,
AMT, 7.90%, 3/1/25, Callable
3/1/05 @ 106, GNMA................ 1,599
1,985 Home Corp., Single Family Mortgage
Revenue, Access Program, Series F,
AMT, 7.55%, 12/1/27, Callable
12/1/06 @ 105, FNMA/GNMA.......... 2,146
1,595 Hospital Equipment & Facilities,
Revenue, Rush Medical Foundation
Project, Series A, 5.40%,
1/1/07............................ 1,521
745 Housing Finance Corp., Single Family
Mortgage Revenue, Mortgage Backed
Securities Program, AMT, 8.25%,
10/15/18, FGIC.................... 761
5,000 Jackson Redevelopment Authority
Urban Renewal, Revenue, Jackson
Medical Mall Foundation Project,
Series A, 4.60%, 11/1/12, Callable
11/1/02 @ 100, LOC: Bank One
Louisiana......................... 4,832
690 Region IV Finance Corp., Inc.,
Mortgage Revenue, Greentree
Apartments, Series A, 6.10%,
8/1/15, Callable 8/1/01 @ 100..... 690
1,565 Region IV Finance Corp., Inc.,
Mortgage Revenue, Greentree
Apartments, Series A, 6.45%,
8/1/22, Callable 8/1/01 @ 100..... 1,566
----------
16,825
----------
Missouri (1.9%):
2,480 Kansas City, IDA, Multi-Family
Housing Revenue, Coves North
Duplexes Project, 5.60%, 9/1/25,
FNMA.............................. 2,538
1,750 Kansas City, IDA, Multi-Family
Housing Revenue, Village Green
Apartments Project, AMT, 6.25%,
4/1/30, Callable 4/1/08 @ 102..... 1,597
</TABLE>
Continued
64
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Missouri, continued:
$ 5,000 St. Charles County, IDA,
Multi-Family Housing Revenue,
Vanderbilt Apartments, 5.00%,
2/1/29, Callable 2/1/07 @ 101..... $ 4,748
1,405 St. Louis County, IDA, Nursing Home
Revenue, GNMA Mortgage Backed,
Mary Queen Project, 7.13%,
3/20/23, Callable 9/20/01 @ 102,
GNMA.............................. 1,444
1,750 State Housing Development, Single
Family Mortgage Revenue, Series B,
AMT, 6.15%, 3/1/20, Callable
3/1/10 @ 100, GNMA/FNMA........... 1,765
875 State Housing Development, Single
Family Mortgage Revenue, Series A,
AMT, 7.38%, 8/1/23, Callable
2/1/01 @ 102, GNMA................ 894
3,020 State Housing Development, Single
Family Mortgage Revenue, Series C,
AMT, 7.25%, 9/1/26, Callable
3/1/06 @ 105, GNMA................ 3,243
1,465 State Housing Development, Single
Family Mortgage Revenue, Series A,
AMT, 7.20%, 9/1/26, Callable
9/1/06 @ 105, GNMA/FNMA........... 1,535
1,505 State Housing Development, Single
Family Mortgage Revenue, Series D,
AMT, 7.10%, 9/1/27, Callable
1/1/07 @ 102, GNMA/FNMA........... 1,549
2,000 University City, Multi-Family
Housing Revenue, 7.38%, 3/1/21.... 2,144
----------
21,457
----------
Montana (2.8%):
3,900 Forsyth, PCR, Portland General
Electric Co., Series A, 4.60%,
5/1/33............................ 3,779
2,000 State Board Housing, Single Family
Housing Revenue, Series A-2, AMT,
6.05%, 12/1/12, Callable 12/1/06 @
102, FHA/VA....................... 2,000
4,525 State Board Housing, Single Family
Housing Revenue, AMT, 4.63%,
6/1/31, Callable 6/1/08 @ 101,
FHA/ VA........................... 4,431
1,275 State Long Range Building, GO,
Series C, 5.00%, 8/1/00........... 1,276
480 State Long Range Building, GO,
Series C, 5.00%, 8/1/01........... 483
510 State Long Range Building, GO,
Series C, 5.25%, 8/1/02........... 517
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Montana, continued:
$ 545 State Long Range Building, GO,
Series C, 5.25%, 8/1/03........... $ 554
580 State Long Range Building, GO,
Series C, 5.25%, 8/1/04........... 592
720 State Long Range Building, GO,
Series C, 5.25%, 8/1/08........... 737
700 State Long Range Building, GO,
Series C, 5.05%, 8/1/10........... 702
845 State Long Range Building, GO,
Series C, 5.10%, 8/1/11, Callable
8/1/10 @ 100...................... 846
890 State Long Range Building, GO,
Series C, 5.15%, 8/1/12, Callable
8/1/10 @ 100...................... 891
940 State Long Range Building, GO,
Series C, 5.25%, 8/1/13, Callable
8/1/10 @ 100...................... 942
995 State Long Range Building, GO,
Series C, 5.30%, 8/1/14, Callable
8/1/10 @ 100...................... 997
1,050 State Long Range Building, GO,
Series C, 5.35%, 8/1/15, Callable
8/1/10 @ 100...................... 1,052
1,115 State Long Range Building, GO,
Series C, 5.40%, 8/1/16, Callable
8/1/10 @ 100...................... 1,117
1,180 State Long Range Building, GO,
Series C, 5.45%, 8/1/17, Callable
8/1/10 @ 100...................... 1,181
1,245 State Long Range Building, GO,
Series C, 5.45%, 8/1/18, Callable
8/1/10 @ 100...................... 1,246
1,320 State Long Range Building, GO,
Series C, 5.55%, 8/1/19, Callable
8/1/10 @ 100...................... 1,322
1,625 State, GO, Series C, 5.00%, 8/1/07,
Callable 8/1/05 @ 100............. 1,636
2,135 State, GO, Series C, 5.00%, 8/1/08,
Callable 8/1/05 @ 100............. 2,143
2,250 State, GO, Series D, 5.00%, 8/1/09,
Callable 8/1/05 @ 100............. 2,254
----------
30,698
----------
Nebraska (0.7%):
4,730 Investment Finance Authority, Single
Family Housing Revenue, Series D,
AMT, 4.90%, 9/1/27, Callable
9/1/07 @ 101.50,
GNMA/FNMA/FHLMC................... 4,650
</TABLE>
Continued
65
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One Group Mutual Funds
Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Nebraska, continued:
$ 160 Investment Finance Authority, Single
Family Mortgage Revenue, Mortgage
Backed Securities Program, Series
D, AMT, 6.35%, 3/15/06, Callable
9/15/02 @ 102, GNMA............... $ 162
3,000 Lancaster County, IDR,
Archer-Daniels-Midland Co.
Project, 5.90%, 11/1/07, Callable
11/1/00 @ 100..................... 3,023
----------
7,835
----------
Nevada (2.0%):
995 Clark County Housing Finance Corp.,
Mortgage Revenue, Highland
Village, 5.80%, 2/1/15, Callable
2/1/03 @ 100, FHA................. 997
3,005 Clark County Housing Finance Corp.,
Mortgage Revenue, Highland
Village, 6.15%, 2/1/24, Callable
2/1/03 @ 100, FHA................. 3,010
1,825 Housing Division, Single Family
Housing Revenue, Issue C, AMT,
6.35%, 10/1/13, Callable 4/1/05 @
102, FHA/VA....................... 1,846
550 Housing Division, Single Family
Housing Revenue, Series B-2, AMT,
7.90%, 10/1/21, Callable 4/1/01 @
101, FHA/VA....................... 559
660 Housing Division, Single Family
Mortgage Revenue, Sub-Series B-1,
AMT, 6.00%, 4/1/10, Callable
4/1/07 @ 102...................... 654
1,300 Housing Division, Single Family
Mortgage Revenue, Series C, AMT,
6.60%, 4/1/14, Callable 4/1/06 @
102, FHA/VA....................... 1,312
1,995 Housing Division, Single Family
Mortgage Revenue, Series A-2, AMT,
5.20%, 10/1/18, Callable 4/1/09 @
101, FHA.......................... 1,787
300 Housing Division, Single Family
Mortgage Revenue, Series C-2, AMT,
5.80%, 4/1/21, Callable 10/1/09 @
100............................... 288
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Nevada, continued:
$ 950 Housing Division, Single Family
Housing Revenue, Sub-Series A-1,
AMT, 5.20%, 4/1/11, Callable
4/1/08 @ 101.50................... $ 922
10,000 Washoe County, Water Facilities
Revenue, Sierra Pacific Power,
AMT, 6.65%, 6/1/17, Callable
12/1/02 @ 102, MBIA............... 10,524
----------
21,899
----------
New Hampshire (0.6%):
7,000 Higher Educational & Health
Facilities, Frisbie Memorial
Hospital, 6.13%, 10/1/13, Callable
10/1/03 @ 102..................... 6,501
----------
New Mexico (1.3%):
1,000 Educational Assistance Foundation,
Student Loan Program, Sub-Series
A-2, AMT, 6.20%, 11/1/08, Callable
11/1/06 @ 102, GSL................ 1,037
600 Educational Assistance Foundation,
Student Loan Program, Sub-Series
A-2, AMT, 6.30%, 11/1/09, Callable
11/1/06 @ 102, GSL................ 626
340 Hobbs, Single Family Mortgage
Revenue Refunding, 8.75%, 7/1/11,
Callable 7/1/02 @ 103............. 369
115 Las Cruces, Housing Development
Corp., Multi-Family Mortgage
Revenue, Sub-Series B, 9.00%,
10/1/03........................... 115
1,140 Las Cruces, Housing Development
Corp., Multi-Family Mortgage
Revenue, Series A, 6.40%, 10/1/19,
Callable 4/1/03 @ 102............. 1,150
990 Mortgage Finance Authority, Single
Family Mortgage Program, Revenue,
Series A-2, AMT, 6.05%, 7/1/16,
Callable 7/1/07 @ 102, FNMA/
GNMA/FHLMC........................ 981
1,105 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-2, 6.90%, 7/1/24, Callable
7/1/02 @ 102...................... 1,127
</TABLE>
Continued
66
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New Mexico, continued:
$ 455 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series H,
AMT, 6.45%, 7/1/25, Callable
1/1/06 @ 102, GNMA/FNMA........... $ 459
2,765 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-2, AMT, 6.00%, 1/1/29, Callable
1/1/08 @ 102, FNMA/ GNMA/FHLMC.... 2,847
1,375 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-2, AMT, 4.60%, 9/1/29, Callable
9/1/08 @ 102, FNMA/ GNMA.......... 1,332
2,500 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
E-2, AMT, 6.80%, 3/1/31, Callable
9/1/09 @ 102.50, GNMA/
FNMA/FHLMC........................ 2,647
2,105 Santa Fe Civic Housing Authority,
Inc., Multi-Family Housing
Revenue, Series A, AMT, 5.35%,
8/1/19, Callable 8/1/08 @ 100,
FSA............................... 1,953
----------
14,643
----------
New York (1.5%):
12,000 Kiryas Joel Housing Authority,
Multi-Family Housing Revenue,
Kiryas Timurim Project, 6.50%,
7/1/32, Putable 12/31/00 @ 100.... 11,999
2,155 New York City Housing Development
Corp., Multi-Family Housing
Revenue, Series D, 5.50%, 11/1/19,
Callable 11/1/06 @ 101............ 2,028
3,000 New York, N.Y., GO, Series A, 5.25%,
8/1/10, Callable 8/1/07 @ 101,
MBIA.............................. 3,036
----------
17,063
----------
North Carolina (0.4%):
2,155 Eastern Municipal Power Agency,
Revenue, Series A, 6.00%, 1/1/26,
Callable 1/1/01 @ 100............. 2,007
1,500 Haywood County, Industrial
Facilities & Pollution Revenue,
Champion International Corp.
Project, AMT, 6.25%, 9/1/25,
Callable 9/1/05
@ 102............................. 1,432
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
North Carolina, continued:
$ 430 Municipal Power Agency #1, Catawba
Electric Revenue, Series B, 6.00%,
1/1/20, Callable 1/1/01 @ 100..... $ 407
295 Municipal Power Agency #1, Catawba
Electric Revenue, Series B, 6.00%,
1/1/20, Callable 1/1/01 @ 100,
MBIA.............................. 295
----------
4,141
----------
North Dakota (0.2%):
180 State Housing Finance Agency,
Housing Finance Program Revenue,
Series A, AMT, 7.40%, 7/1/15,
Callable 1/1/05 @ 102............. 184
1,425 State Housing Finance Agency,
Housing Finance Program Revenue,
Series A, AMT, 6.00%, 7/1/17,
Callable 1/1/07 @ 102............. 1,442
515 State Housing Finance Agency, Single
Family Mortgage Revenue, Series A,
AMT, 8.38%, 7/1/21, FHA........... 524
----------
2,150
----------
Ohio (2.9%):
4,500 Akron, Municipal Baseball Stadium,
Certificates of Participation,
0.00%, 12/1/16, Callable 12/1/06 @
102............................... 4,294
825 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/07, Callable
6/11/07 @ 97.36, AMBAC............ 542
810 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/08, Callable
6/11/07 @ 91.99, AMBAC............ 503
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/10, Callable
6/11/07 @ 82.13, AMBAC............ 454
815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/11, Callable
6/11/07 @ 77.61, AMBAC............ 427
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/13, Callable
6/11/07 @ 69.29, AMBAC............ 382
815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/14, Callable
6/11/07 @ 65.47, AMBAC............ 354
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/16, Callable
6/11/07 @ 58.45, AMBAC............ 312
</TABLE>
Continued
67
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/17, Callable
6/11/07 @ 55.23, AMBAC............ $ 289
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/19, Callable
6/11/07 @ 49.31, AMBAC............ 255
810 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/20, Callable
6/11/07 @ 46.59, AMBAC............ 236
1,000 Dayton Special Facilities Air
Freight, Revenue, Series F, 6.05%,
10/1/09........................... 1,004
1,500 Dayton Special Facilities Air
Freight, Revenue, Series E, 6.05%,
10/1/09........................... 1,505
650 East Liverpool, Hospital Authority,
Series B, 8.13%, 10/1/11, Callable
10/1/01 @ 102..................... 673
1,500 Franklin County Health Care
Facilities, Revenue, 5.40%,
12/20/09.......................... 1,499
2,470 Franklin County, Multi-Family
Housing Revenue, Series B, 6.40%,
11/1/35, Callable 11/1/08 @ 102... 2,226
1,825 Hamilton County, Sewer System
Revenue, Series A, 5.55%, 12/1/18,
Callable 6/1/10 @ 101, MBIA....... 1,818
2,335 Housing Finance Agency, Mortgage
Revenue, Series B, AMT, 4.65%,
9/1/20, Callable 9/1/08 @ 101,
GNMA.............................. 2,280
3,295 Housing Finance Agency, Mortgage
Revenue, Series A-2, AMT, 6.38%,
3/1/25, Callable 9/1/04 @ 102,
GNMA.............................. 3,349
5,250 Mahoning Valley, District Water
Revenue, 7.75%, 5/15/14, Callable
5/15/04 @ 102..................... 5,850
1,000 State Mortgage, Revenue, 6.20%,
8/1/17, Callable 8/1/06 @ 102,
FHA............................... 1,032
3,415 Water Development Authority, Solid
Waste Disposal Revenue, AMT, 6.45%
9/1/20, Callable 9/1/05 @ 102..... 3,387
----------
32,671
----------
Oklahoma (1.1%):
2,747 Canadian County Partners Trust,
5.10%, 8/1/23..................... 2,677
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oklahoma, continued:
$ 1,000 Development Finance Authority,
Oklahoma University, Series A,
5.45%, 7/1/10, Callable 7/1/05 @
101,
FSA............................... $ 1,022
2,000 Housing Finance Agency, Multi-Family
Housing Revenue, Series A-3,
5.50%, 11/1/25, Callable 5/1/05 @
100, FNMA......................... 2,032
5,805 Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-1, 0.00%, 3/1/29, Callable
9/1/08 @ 33.37.................... 962
2,315 Housing Finance Agency, Single
Family Mortgage Revenue,
Homeownership Loan Program, Series
B-2, AMT, 7.63%, 9/1/26, Callable
3/1/06
@ 105............................. 2,456
2,530 Housing Finance Agency, Single
Family Mortgage Revenue,
Homeownership Loan Program, Series
A, 7.05%, 9/1/26, Callable 9/1/06
@ 105, GNMA....................... 2,661
----------
11,810
----------
Oregon (3.3%):
2,280 Clackamas County School District
#62, Oregon City, GO, Series C,
5.50%, 6/15/09.................... 2,372
2,215 Clackamas County School District
#62, Oregon City, GO, Series C,
5.50%, 6/15/10.................... 2,304
2,395 Clackamas County School District
#62, Oregon City, GO, Series C,
6.00%, 6/15/11, Callable 6/15/10 @
100............................... 2,576
3,520 Clackamas County School District
#62, Oregon City, GO, Series C,
6.00%, 6/15/12, Callable 6/15/10 @
100............................... 3,772
3,920 Clackamas County School District
#62, Oregon City, GO, Series C,
6.00%, 6/15/13, Callable 6/15/10 @
100............................... 4,175
1,610 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/13,
Callable 6/15/10 @ 100............ 1,706
1,000 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/14,
Callable 6/15/10 @ 100............ 1,055
</TABLE>
Continued
68
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon, continued:
$ 1,100 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/15,
Callable 6/15/10 @ 100............ $ 1,155
1,230 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/16,
Callable 6/15/10 @ 100............ 1,284
1,375 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/17,
Callable 6/15/10 @ 100............ 1,429
1,525 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/18,
Callable 6/15/10 @ 100............ 1,580
1,870 Lane & Douglas Counties School
District #045J3, South Lane School
District, GO, 6.00%, 6/15/20,
Callable 6/15/10 @ 100............ 1,923
2,170 Marion County, Housing Authority,
Revenue, Elliott Residence, AMT,
7.50%, 10/20/37, Callable 10/20/06
@ 105, GNMA....................... 2,410
5,000 Port Morrow, PCR, Portland General
Electric Co., Series A, 4.60%,
5/1/33............................ 4,860
1,545 Portland Housing Authority, Multi-
Family Housing Revenue, Berry
Ridge Project, AMT, 6.13%,
5/1/17, Callable 5/1/07 @ 100,
LOC: U.S. National Bank of
Oregon............................ 1,554
1,000 Portland Housing Authority, Multi-
Family Housing Revenue, Berry
Ridge Project, AMT, 6.30%, 5/1/29,
Callable 5/1/07 @ 100, LOC: U.S.
National Bank of Oregon........... 1,004
1,200 Washington County Housing Authority,
Multi-Family Housing Revenue,
Tualatin Meadows Project, AMT,
5.13%, 11/1/09, FNMA.............. 1,178
----------
36,337
----------
Pennsylvania (1.1%):
1,280 Housing Finance Agency, Single
Family Mortgage Revenue, Series
47, AMT, 6.75%, 10/1/08........... 1,399
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Pennsylvania, continued:
$ 1,365 Housing Finance Agency, Single
Family Mortgage Revenue, Series
47, AMT, 6.75%, 10/1/09........... $ 1,504
1,455 Housing Finance Agency, Single
Family Mortgage Revenue, Series
47, AMT, 6.75%, 10/1/10........... 1,608
1,000 Housing Finance Agency, Single
Family Mortgage Revenue, Series
62A, AMT, 5.50%, 10/1/22, Callable
6/4/08 @ 101.50................... 930
1,725 Philadelphia Gas Works, 14th Series,
6.38%, 7/1/14, Prerefunded 7/1/03
@ 102............................. 1,753
2,000 Philadelphia Water & Waste Revenue,
5.65%, 06/15/12, Callable 6/15/03
@ 102, FGIC....................... 2,069
705 Pittsburgh, Urban Redevelopment
Authority, Multi-Family Housing
Revenue, Sidney Square Project,
Series A, AMT, 6.10%, 9/1/10,
Callable 9/1/06 @ 102, GNMA....... 718
2,000 Pittsburgh, Urban Redevelopment,
Revenue, Series A, AMT, 5.15%,
4/1/21, Callable 4/1/09 @ 100..... 1,979
----------
11,960
----------
Rhode Island (0.6%):
3,195 Housing & Mortgage Finance Corp.,
Multi-Family Housing Revenue,
Rental Housing Program, Series B,
7.95%, 10/1/20, Callable 10/1/00 @
101............................... 3,265
500 Housing & Mortgage Finance Corp.,
Single Family Housing Revenue,
Home Ownership Opportunity, Series
15-B, 6.00%, 10/1/04, Callable
4/1/04 @ 102, MBIA................ 511
2,630 Housing & Mortgage Finance Corp.,
Single Family Housing Revenue,
Home Ownership Opportunity, Series
21-C, AMT, 6.15%, 4/1/17, Callable
10/1/06 @ 102..................... 2,630
----------
6,406
----------
South Carolina (0.6%):
2,450 Piedmont, Municipal Power Agency,
Electric Revenue Refunding, Series
A, 6.55%, 1/1/16, Callable 1/1/01
@ 100............................. 2,413
</TABLE>
Continued
69
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
South Carolina, continued:
$ 1,265 Piedmont, Municipal Power Agency,
Electric Revenue Refunding, Series
A, 6.60%, 1/1/21, Callable 1/1/01
@ 100............................. $ 1,236
610 Resource Authority, Local Government
Program Revenue, Series A, 7.25%,
6/1/20, Callable 6/1/01 @
101.50............................ 623
2,500 State Public Services, Revenue,
Series A, 5.75%, 1/1/14, Callable
1/1/10 @ 101, MBIA................ 2,576
----------
6,848
----------
South Dakota (0.4%):
4,750 Education Loans, Inc., Student Loan
Revenue, Series 1K, AMT, 5.60%,
6/1/20, Callable 6/1/08 @ 102,
GSL............................... 4,439
270 Housing Development Authority,
Single Family Housing Revenue,
Homeowner Mortgage, Series D-1,
AMT, 6.80%, 5/1/12, Callable
5/1/03 @ 102...................... 283
----------
4,722
----------
Tennessee (0.7%):
910 Bristol, Industrial Development
Board, Multi-Family Housing
Revenue, Shelby Heights Apartments
Project, Series 97, 6.10%, 3/1/12,
Callable 3/1/07 @ 101............. 923
1,750 Housing Development Agency, Single
Family Housing Revenue,
Homeownership Program, Series 3,
AMT, 5.30%, 7/1/10, Callable
1/1/09 @ 101...................... 1,727
2,000 Housing Development Agency, Single
Family Housing Revenue,
Homeownership Program, Series T,
AMT, 7.38%, 7/1/23, Callable
7/1/01 @ 102...................... 2,027
665 La Follette, Housing Development
Corp., Multi-Family Housing
Revenue Refunding, Series A,
6.25%, 1/1/16, Callable 7/1/05 @
102, MBIA......................... 684
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Tennessee, continued:
$ 380 La Follette, Housing Development
Corp., Multi-Family Housing
Revenue Refunding, Series A,
6.38%, 1/1/20, Callable 7/1/05 @
102, MBIA......................... $ 392
1,444 Memphis, Health, Educational &
Housing, Multi-Family Housing
Revenue Refunding, 7.38%, 1/20/27,
Callable 1/20/02 @ 103, GNMA...... 1,523
----------
7,276
----------
Texas (9.1%):
955 Beaumont, Housing Finance Corp.,
Single Family Mortgage Revenue
Refunding, 9.20%, 3/1/12, Callable
9/1/01 @ 103...................... 1,076
1,765 Bexar County, Housing Finance Corp.,
Residential Revenue, Capital
Appreciation, GO, 0.00%, 3/1/15,
Callable 9/1/03 @ 49.36........... 715
3,380 Central Housing Finance Corp.,
Single Family Mortgage Revenue,
GNMA Mortgage Program, AMT, 8.20%,
4/1/22, GNMA/FHA/VA............... 3,523
920 Dallas County, Housing Finance
Corp., Single Family Mortgage
Revenue, 0.00%, 1/1/17, FGIC...... 182
363 El Paso, Housing Finance Corp.,
Single Family Mortgage Revenue
Refunding, Series A, 8.75%,
10/1/11, Callable 4/1/01 @ 103,
FHA/VA............................ 398
4,000 El Paso, Independent School
District, GO, 0.00%, 8/15/12,
Callable 8/15/08 @ 80.49.......... 2,007
3,650 Fort Bend County Industrial
Development Corp., PCR, Frito Lay,
Inc. Project, 4.65%, 10/1/11,
ETM............................... 3,650
1,905 Fort Worth, Housing Finance Corp.,
Home Mortgage Revenue Refunding,
Series A, 8.50%, 10/1/11, Callable
10/1/01 @ 103..................... 1,983
815 Galveston, Property Finance
Authority, Single Family Mortgage
Revenue Refunding, Series A,
8.50%, 9/1/11, Callable 9/1/01 @
103............................... 878
4,050 Harris County, Port Houston
Authority, GO, Series A, AMT,
3.80%, 10/1/03.................... 3,853
3,345 Harris County, Sports Authority,
Special Revenue, Series B, 0.00%,
11/15/11, Callable 11/15/08 @
85.80............................. 1,767
</TABLE>
Continued
70
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 4,950 Harris County, Sports Authority,
Special Revenue, Series B, 0.00%,
11/15/14, Callable 11/15/08 @
72.72............................. $ 2,134
5,000 Harris County, Sports Authority,
Special Revenue, Series B, 0.00%,
11/15/17, Callable 11/15/08 @
61.64, MBIA....................... 1,754
9,270 Houston, Certificates of Obligation,
0.00%, 9/1/10, Callable 9/1/01 @
58.74............................. 5,084
945 Houston, Housing Finance Corp.,
Single Family Mortgage Revenue,
Series B-1, 8.00%, 6/1/14,
Callable 12/1/06 @ 102............ 1,017
2,365 Houston, Housing Finance Corp.,
Single Family Mortgage Revenue
Refunding, Series B-2, 0.00%,
6/1/14, Callable 12/1/06 @ 58..... 830
445 Laredo, Housing Finance Corp.,
Single Family Mortgage Revenue,
AMT, 6.20%, 10/1/19, Callable
4/1/04 @ 103, FNMA/GNMA........... 449
6,955 Leander Independent School District,
GO, 0.00%, 8/15/15, Callable
8/15/09 @ 69.73, PSFG............. 2,828
6,955 Leander Independent School District,
GO, 0.00%, 8/15/16, Callable
8/15/09 @ 65.22, PSFG............. 2,631
8,780 Lubbock Housing Finance Corp.,
Single Family Housing Revenue,
Series A, 6.70%, 10/1/30, Callable
10/1/09 @ 105 FNMA................ 9,165
2,860 North Central Housing Finance Corp.,
Multi-Family Housing Revenue,
Heather Lane Apartments, Series A,
AMT, 5.20%, 5/15/19, Callable
5/15/09 @ 100, FSA................ 2,547
10,000 Nueces County, Port Corpus Christi
Authority, PCR, AMT, 6.88%,
4/1/17, Callable 4/1/02 @ 102..... 10,073
8,630 Richardson, Independent School
District, GO, Series A, 0.00%,
2/15/06........................... 6,473
4,580 Richardson, Independent School
District, GO, Series A, 0.00%,
2/15/07........................... 3,251
6,900 San Antonio Housing Finance Corp.,
Multi-Family Housing Revenue,
Villa & Stone Ridge, Series A,
AMT, 7.50%, 4/15/27............... 6,941
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 1,000 San Antonio, Hotel Occupancy
Revenue, Henry B Gonzalez
Convention Center Project, 5.30%,
8/15/08, Callable 8/15/06 @ 102,
FGIC.............................. $ 1,019
6,670 South Plains Housing Finance Corp.,
Single Family Housing Revenue,
Series C, 7.30%, 9/1/31, Callable
9/1/10 @ 105, FNMA/GNMA........... 7,276
1,555 Southeast Housing Finance Corp.,
Residual Revenue, Series A, 0.00%,
11/1/14, Prerefunded 5/1/05 @
56.09, ETM........................ 681
11,360 Southeast Housing Finance Corp.,
Residual Revenue, Series A, 0.00%,
9/1/17, Callable 3/1/10 @ 68.57... 4,525
510 State Department Housing & Community
Affairs, Multi-Family Housing
Revenue, Harbors & Plumtree,
Series A, 5.90%, 7/1/06........... 516
1,500 State Department Housing & Community
Affairs, Multi-Family Housing
Revenue, NHP Foundation -- Asmara
Project, Series A, 6.30%, 1/1/16,
Callable 1/1/07 @ 102............. 1,518
2,755 State Department Housing & Community
Affairs, Multi-Family Housing
Revenue, Pebble Brook Apartments
Project, AMT, 5.55%, 12/1/24,
Callable 12/1/08 @ 102, FNMA...... 2,531
5,560 State Department Housing & Community
Affairs, Single Family Housing
Revenue Refunding, Series A,
0.00%, 3/1/15, Callable 9/1/04 @
49.53............................. 2,080
2,470 State Department Housing & Community
Affairs, Single Family Mortgage
Revenue, Series A, AMT, 5.25%,
7/1/18, Callable 1/1/09 @ 101,
GNMA/FNMA......................... 2,250
2,000 Tyler Health Facilities Development
Corp., Hospital Revenue, East
Texas Center, Series D, 5.38%,
11/1/27, Callable 2/16/09 @ 102,
FSA............................... 1,842
</TABLE>
Continued
71
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 405 Winter Garden Housing Finance Corp.,
Single Family Mortgage Revenue,
AMT, 6.20%, 10/1/19, Callable
4/1/04 @ 103, FNMA/GNMA........... $ 395
----------
99,842
----------
Utah (0.6%):
1,000 Intermountain Power Agency, Power
Supply Revenue, Series B, 6.00%,
7/1/12, Callable 7/1/02 @ 102..... 1,022
865 State Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2, AMT, 5.95%, 7/1/09, Callable
1/1/07 @ 102, FHA/VA.............. 853
870 State Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.25%, 7/1/14, Callable
1/1/07 @ 102, FHA/VA.............. 898
1,680 State Housing Finance Agency, Single
Family Mortgage Revenue, Issue
A-1, 6.00%, 7/1/14, Callable
1/1/07 @ 102, FHA................. 1,706
995 State Housing Finance Agency, Single
Family Mortgage Revenue, Series
G-1, 5.50%, 7/1/16, Callable
7/1/07 @ 101.50................... 966
1,375 State Housing Finance Agency, Single
Family Mortgage Revenue, Series F,
6.30%, 7/1/21, Callable 7/1/09 @
101.50............................ 1,403
----------
6,848
----------
Vermont (0.3%):
3,320 Housing Finance Agency, Single
Family Housing Revenue, Series A,
7.85%, 12/1/29, Callable 6/1/01 @
100, FHA/VA....................... 3,374
----------
Virginia (1.3%):
1,065 Alexandria, Redevelopment & Housing
Authority, Multi-Family Housing
Revenue, Buckingham Village
Apartments, 5.45%, 7/1/18,
Callable 1/1/06 @ 102............. 988
2,250 Arlington County, IDA, Multi-Family
Housing Revenue, Patrick Henry
Apartments Project, AMT, 6.05%
11/1/32, Callable 5/1/10 @ 100,
FNMA.............................. 2,232
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Virginia, continued:
$ 4,000 Loudoun County, Sanitation Authority
Water & Sewer Revenue, 6.25%,
1/1/16, Callable 1/1/03 @ 102,
FGIC.............................. $ 4,186
1,000 State Housing Development Authority,
Commonwealth Mortgage, Single
Family Housing Revenue, Series H,
5.15%, 7/1/17, Callable 1/1/08
@ 102............................. 924
2,435 Suffolk, Redevelopment & Housing
Authority, Multi-Family Housing
Revenue, Residential Rental --
Brooke Ridge, 5.25%, 10/1/18,
Callable 10/1/09 @ 102, ACA....... 2,196
3,690 Suffolk, Redevelopment & Housing
Authority, Multi-Family Housing
Revenue, Oxford Apartments
Project, 6.10%, 4/1/26, Callable
10/1/08 @ 101..................... 3,328
170 Virginia Beach Development
Authority, Multi-Family Housing
Revenue, 2nd Mortgage, Series B,
8.75%, 1/15/08, Callable 1/15/01 @
100 (b)........................... 116
----------
13,970
----------
Washington (5.3%):
2,000 Chelan Public Utilities, Series D,
AMT, 6.35%, 7/1/28, Callable
7/1/07 @ 102, MBIA................ 2,052
3,750 Housing Finance Community, Non-
Profit Housing Revenue,
Presbyterian Ministries, Series A,
5.45%, 1/1/29, Callable 1/1/09 @
102, ACA.......................... 3,264
2,530 King County, Housing Authority,
Multi-Family Housing Revenue,
Heritage Park Project, 5.50%,
10/1/29, Callable 10/1/09 @ 100,
ACA............................... 2,230
2,000 King County School District #411,
Issaquah, GO, 6.25%, 12/1/12,
Callable 6/1/10 @ 100............. 2,162
1,500 King County School District #411,
Issaquah, GO, 6.25%, 12/1/13,
Callable 6/1/10 @ 100............. 1,611
1,500 King County School District #411,
Issaquah, GO, 6.25%, 12/1/14,
Callable 6/1/10 @ 100............. 1,603
1,900 King County School District #411,
Issaquah, GO, 6.25%, 12/1/15,
Callable 6/1/10 @ 100............. 2,023
</TABLE>
Continued
72
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington, continued:
$ 2,000 King County School District #411,
Issaquah, GO, 6.25%, 12/1/16,
Callable 6/1/10 @ 100............. $ 2,120
5,265 Pierce County, Housing Authority,
Multi-Family Housing Revenue,
5.65%, 12/1/18, Callable 12/1/08 @
100, ACA.......................... 4,977
6,970 Pierce County, Housing Authority,
Multi-Family Housing Revenue,
5.80%, 12/1/23, Callable 12/1/08 @
100, ACA.......................... 6,594
1,300 Port Grays Harbor, Revenue,
AMT,6.38%, 12/1/14, Callable
12/1/09 @ 100..................... 1,327
2,000 Quinault Indian Nation, Revenue,
5.85%, 12/1/12, Callable 12/1/00 @
100, ACA.......................... 1,937
5,395 Seattle Light & Power, Revenue,
Series A, 5.75%, 8/1/08, Callable
8/1/02 @ 102...................... 5,539
970 Spokane, Housing Authority, Multi-
Family Housing Revenue, Valley 206
Apartments, Junior Lien B, 5.75%,
4/1/28, LOC: Washington Trust
Bank.............................. 885
1,025 Spokane, Housing Authority, Multi-
Family Housing Revenue, Valley 206
Apartments, Senior Lien A, 5.40%,
4/1/18, Callable 4/1/08 @ 100..... 928
2,600 Spokane, Housing Authority, Multi-
Family Housing Revenue, Valley 206
Apartments, Senior Lien A, 5.63%,
4/1/28, Callable 4/1/08 @ 100..... 2,311
4,000 State Public Power Supply System,
Nuclear Project #2, Revenue,
Series A, 6.30%, 7/1/12........... 4,343
2,500 State Public Power Supply System,
Nuclear Project #2, Revenue,
Series A, 5.00%, 7/1/12, Callable
7/1/08 @ 102...................... 2,382
2,750 State Public Power Supply System,
Nuclear Project #2, Revenue
Refunding, Series B, 5.63%,
7/1/12, Callable 7/1/03 @ 102,
FSA............................... 2,785
3,400 State Public Power Supply System,
Nuclear Project #3, Revenue,
Series A, 5.50%, 7/1/07, Callable
7/1/06 @ 102, AMBAC............... 3,494
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington, continued:
$ 2,895 Tacoma Electric Systems, Revenue,
5.63%, 1/1/16, Callable 1/1/09
@ 101............................. $ 2,910
2,000 Vancouver, Housing Authority, Multi-
Family Housing Revenue, Pooled
Housing, Series A, 5.40%, 3/1/18,
Callable 3/1/08 @ 100............. 1,840
----------
59,317
----------
West Virginia (2.7%):
1,000 Charleston, Community Parking
Facilities Revenue, Sub-C, 0.00%,
12/1/20........................... 256
1,595 Charleston, Community Parking
Facilities Revenue, Sub-C, 0.00%,
12/1/21........................... 380
1,630 Charleston, Community Parking
Facilities Revenue, Sub-C, 0.00%,
12/1/22........................... 360
1,665 Charleston, Community Parking
Facilities Revenue, Sub-C, 0.00%,
12/1/23........................... 343
3,175 Charleston, Community Parking
Facilities Revenue, Sub-C, 0.00%,
12/1/26........................... 528
2,600 Monongalia County, Series A, 6.00%,
11/15/27, Callable 11/15/02 @
102............................... 2,145
2,000 School Building Authority Revenue,
Capital Improvements, 6.00%,
7/1/08, Callable 7/1/07 @ 102,
AMBAC............................. 2,134
2,730 State Housing Development Fund,
Housing Finance Revenue, Series A,
6.95%, 11/1/16, Callable 5/1/02 @
103............................... 2,828
720 State Housing Development Fund,
Housing Finance Revenue, Series B,
AMT, 7.20%, 11/1/20, Callable
5/1/02 @ 102, FHA/VA.............. 736
21,085 State Road, GO, 5.25%, 6/1/16,
Callable 6/1/09 @ 101, FSA........ 20,541
20 Various Forty-Four Municipalities,
Single Family Mortgage Revenue,
Series A, 5.20%, 8/1/17, Callable
8/1/07 @ 102, FNMA/GNMA........... 19
----------
30,270
----------
</TABLE>
Continued
73
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Wisconsin (0.7%):
$ 5,000 Housing & Economic Development
Authority, Single Family Housing
Revenue, Home Ownership, Series D,
5.40%, 9/1/18, Callable 7/1/08
@ 101............................. $ 4,682
1,390 Housing & Economic Development
Authority, Single Family Housing
Revenue, Home Ownership, Series B,
AMT, 5.30%, 9/1/20, Callable
9/1/09 @ 101.50................... 1,349
1,990 Oshkosh Water Revenue, Anticipation
Notes, 4.70%, 1/1/02, Callable
4/1/01 @ 100...................... 1,979
----------
8,010
----------
Wyoming (0.0%):
500 Community Development Authority,
Single Family Mortgage Revenue,
Series E, 5.70%, 6/1/13, Callable
12/1/03 @ 102, FHA................ 498
----------
Total Municipal Bonds 1,017,466
----------
DAILY DEMAND NOTES (1.4%):
Oklahoma (1.0%):
1,255 Canadian County, Home Finance
Authority, Single Family Mortgage
Revenue, Series A-1, AMT, 5.10%,
8/1/28*........................... 1,255
6,195 Canadian County, Home Finance
Authority, Single Family Mortgage
Revenue, Series A-2, 5.10%,
8/1/28*........................... 6,195
3,455 Cleveland County, Home Loan
Authority, Single Family Mortgage
Revenue, Series A-2, 5.10%,
8/1/28*........................... 3,455
----------
10,905
----------
Washington (0.4%):
4,600 State Housing Finance Community,
Non-Profit Housing Revenue, YMCA
Snohomish County Project, 4.82%,
6/1/27*........................... 4,600
----------
Total Daily Demand Notes 15,505
----------
WEEKLY DEMAND NOTES (6.5%):
Alabama (0.1%):
1,000 Special Care Facilities Funding
Authority, Mobile Revenue,
Ascension Health Credit, Series B,
5.10%, 11/15/39*.................. 1,000
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Colorado (0.5%):
$ 5,800 Eagle Ranch Metropolitan District,
Series A, 4.80%, 10/15/18*........ $ 5,800
----------
Georgia (0.9%):
3,800 Marietta Housing Authority, Multi-
Family Housing Revenue, Concepts
21 Apartments, 4.85%, 7/1/24,
FNMA*............................. 3,800
4,200 State, GO, 8.07%, 2/9/10, Callable
11/1/09 @ 102* (b)................ 4,713
1,000 State, GO, 8.07%, 4/6/13, Callable
11/1/09 @ 102* (b)................ 1,081
----------
9,594
----------
Illinois (1.7%):
19,595 Lakemoor Multi-Family Housing
Revenue, Series A, 5.40%,
12/1/20*.......................... 19,594
----------
Indiana (1.0%):
10,700 Health Facilities Funding Authority,
Revenue, Ascension Health Credit,
Series B, 5.10%, 11/15/39*........ 10,700
----------
New Jersey (0.5%):
2,500 State Turnpike Authority Revenue,
Series R-19, 7.87%, 1/1/13,
MBIA*............................. 2,857
2,500 State Turnpike Authority Revenue,
Series R-19, 4.75%, 1/1/14,
MBIA*............................. 2,852
----------
5,709
----------
Oregon (0.7%):
8,310 State Health Housing Educational &
Cultural Facilities, Quatama
Crossing Housing Project, 4.75%,
1/1/31*........................... 8,310
----------
Puerto Rico (0.5%):
5,000 Puerto Rico Municipal Finance
Agency, GO, Series R-17, 7.92%,
8/1/12, Callable 8/1/09 @ 101*
(b)............................... 5,606
----------
Virginia (0.3%):
3,000 Hampton Redevelopment & Housing
Authority, Multi-Family Housing
Revenue, Shoreline Apartments
Project, 4.85%, 12/1/19*.......... 3,000
----------
Washington (0.3%):
3,000 Seattle Housing Authority Low Income
Housing Revenue, Foss Home
Project, AMT, 4.70%, 12/1/24*..... 3,000
----------
Total Weekly Demand Notes 72,313
----------
</TABLE>
Continued
74
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Municipal Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
MONTHLY DEMAND NOTES (1.4%):
Arizona (0.4%):
$ 4,615 Pima County, IDA, Single Family
Mortgage Revenue, 5.89%,
6/1/28*........................... $ 4,615
----------
California (0.4%):
4,800 Student Educational Loan Marketing
Corp., Student Loan Revenue,
Series 2, AMT, 4.75%, 7/1/34*..... 4,800
----------
Idaho (0.6%):
6,200 Education Funding Association, Inc.,
Student Loan Revenue, Class IV,
Series B, 4.75%, 7/1/33*.......... 6,200
----------
Total Monthly Demand Notes 15,615
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
INVESTMENT COMPANIES (0.5%):
310 Blackrock Investment Quality
Municipal Fund.................... $ 3,875
200 Blackrock Municipal Target Trust.... 2,025
----------
Total Investment Companies 5,900
----------
Total (Cost $1,138,291) (a) $1,126,799
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,108,867.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $236. Cost for federal income tax purposes differs from market
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 7,647
Unrealized depreciation...................... (19,375)
--------
Net unrealized appreciation (depreciation)... $(11,728)
========
</TABLE>
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $11,516 or 1.04% of net assets.
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
75
<PAGE> 78
One Group Mutual Funds
Arizona Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (98.7%):
Arizona (98.7%):
$1,175 Apache County, Public Finance Corp.,
Certificates of Participation,
5.25%, 5/1/04, Callable 5/1/01 @
101.50............................. $ 1,151
500 Apache County, Public Finance Corp.,
Certificates of Participation,
5.50%, 5/1/10, Callable 5/1/01 @
101.50............................. 505
1,000 Arizona State University, Revenue,
6.90%, 7/1/04, Callable 7/1/02 @
101, AMBAC......................... 1,049
1,950 Arizona State University, Revenue,
Series A, 5.85%, 7/1/08, Callable
7/1/02 @ 101....................... 2,000
1,820 Arizona State University, Revenue,
Series A, 5.90%, 7/1/09, Callable
7/1/02 @ 101....................... 1,870
725 Casa Grande, Excise Tax Revenue,
5.90%, 4/1/09, Callable 4/1/04 @
100, FGIC.......................... 744
1,460 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, Series A, 5.20%,
11/1/03............................ 1,482
4,000 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, Series A, 5.40%,
11/1/05............................ 4,116
4,250 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, Series A, 5.40%,
11/1/06............................ 4,386
2,875 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, 4.75%, 11/1/07,
Callable 5/1/04 @ 102, MBIA........ 2,844
2,000 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, 7.13%, 11/1/11,
Prerefunded 11/1/00 @ 102.......... 2,058
5,000 Chandler, Capital Appreciation, GO,
0.00%, 7/1/07, FGIC................ 3,519
625 Coconino & Yavapai Counties, School
District #9, Sedona Oak Creek
Project of 1992, GO, Series C,
5.60%, 7/1/06, Callable 7/1/02 @
101, FGIC.......................... 641
2,400 Coconino County, Arizona University,
School District #001, Flagstaff,
GO, 5.50%, 7/1/08, Callable 7/1/05
@ 101, AMBAC....................... 2,479
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,700 East Valley Institute of Technology,
District #401, GO, Project of 1994,
Series B, 6.00%, 7/1/05, AMBAC..... $ 1,793
1,000 Gilbert Improvement District #011,
7.60%, 1/1/04, Callable 7/1/00 @
101.50, FGIC....................... 1,025
4,000 Glendale University High School,
District #205, GO, Projects of
1993, Series A, 5.30%, 7/1/07,
Callable 7/1/03 @ 101.............. 4,075
2,900 Glendale University High School,
District #205, GO, Projects of
1993, Series B, 5.45%, 7/1/09,
Callable 7/1/05 @ 101, FGIC........ 2,991
1,235 Greater Arizona Development
Authority, Infrastructure Revenue,
Series A, 5.60%, 8/1/07, MBIA...... 1,248
1,000 Greenlee County, IDA, PCR, Phelps
Dodge Corp. Project, 5.45%, 6/1/09,
Callable 6/1/04 @ 102.............. 968
965 Maricopa County, Community College
District, Series A, GO, 6.00%,
7/1/07, Prerefunded 7/1/03 @ 101... 1,007
500 Maricopa County, IDA, Hospital
Facility Revenue, St. Joseph's
Hospital & Medical Centers Project,
6.20%, 11/1/11, Putable 11/1/00 @
100, ETM........................... 503
2,950 Maricopa County, IDA, Single Family
Mortgage Revenue, Capital
Appreciation, Series 83A, 0.00%,
12/31/14........................... 1,315
1,000 Maricopa County, IDA, Single Family
Mortgage Revenue, Mortgage Backed
Securities, Series B-2, AMT, 5.75%,
1/1/13, Callable 1/1/10 @ 101.50,
FNMA/GNMA.......................... 1,006
1,000 Maricopa County, School District
#001, Phoenix Elementary, GO,
5.50%, 7/1/10, Callable 7/1/07 @
101, MBIA.......................... 1,035
1,500 Maricopa County, School District
#008, Osborn, Series A, GO, 5.88%,
7/1/14, Callable 7/1/06 @ 101,
FGIC............................... 1,558
2,000 Maricopa County, School District
#028, Kyrene Elementary, Capital
Appreciation, Series C, GO, 0.00%,
1/1/11, FGIC....................... 1,156
</TABLE>
Continued
76
<PAGE> 79
One Group Mutual Funds
Arizona Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,015 Maricopa County, School District
#038, Madison Elementary, GO,
5.30%, 7/1/08, Callable 7/1/03 @
101, AMBAC......................... $ 1,034
2,000 Maricopa County, School District
#038, Madison Elementary, Project
of 1995, Series B, GO, 5.80%,
7/1/15, Callable 7/1/06 @ 101,
MBIA............................... 2,064
1,000 Maricopa County, School District #11,
Peoria, Projects of 1996, Series A,
GO, 5.00%, 7/1/09, Callable 7/1/07
@ 101, AMBAC....................... 999
1,500 Maricopa County, School District #11,
Peoria, Projects of 1996, Series D,
GO, 5.25%, 7/1/13, Callable 7/1/09
@ 101, FGIC........................ 1,502
2,000 Maricopa County, School District
#210, Project of 1995, Series B,
GO, 5.38%, 7/1/13.................. 2,016
1,200 Maricopa County, School District
#210, Series A, GO, 5.60%, 7/1/13,
Callable 7/1/05 @ 101.............. 1,250
1,000 Maricopa County, School District #3,
Tempe Elementary, Project of 1997,
Series E, GO, 5.40%, 7/1/13,
FGIC............................... 1,011
1,155 Maricopa County, School District #4,
Mesa University, Project of 1995,
Series E, GO, 5.13%, 7/1/07, FSA... 1,173
2,000 Maricopa County, School District #48,
Scottsdale, Series B, GO, 6.10%,
7/1/02............................. 2,058
1,000 Maricopa County, School District #48,
Scottsdale, Series B, GO, 6.30%,
7/1/04............................. 1,058
1,000 Maricopa County, School District #48,
Scottsdale, GO, 5.25%, 7/1/08,
Callable 7/1/03 @ 101.............. 1,016
3,100 Maricopa County, School District #69,
Paradise Valley, GO, 5.80%, 7/1/09,
AMBAC.............................. 3,281
1,000 Maricopa County, School District #69,
Paradise Valley, GO, 6.35%, 7/1/10,
MBIA............................... 1,105
1,500 Maricopa County, School District #69,
Paradise Valley, Project of 1994,
Series E, GO, 4.00%, 7/1/16,
Callable 7/1/07 @ 101, FSA......... 1,208
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,000 Maricopa County, School District #80,
Chandler, GO, 5.80%, 7/1/08,
Callable 7/1/05 @ 101, FGIC........ $ 1,052
920 Maricopa County, School District #9,
Wickenburg, Projects of 1997, GO,
5.50%, 7/1/13, Callable 7/1/07 @
100, AMBAC......................... 933
1,000 Mesa Utility System Revenue, 5.38%,
7/1/15, Callable 7/1/07 @ 101,
FGIC............................... 1,004
1,625 Mesa, GO, 6.00%, 7/1/02, AMBAC....... 1,671
2,000 Mesa, GO, 5.75%, 7/1/14, FGIC........ 2,073
2,000 Mesa, Utility System Revenue, 5.38%,
7/1/12, Callable 7/1/05 @ 101,
FGIC............................... 2,022
1,205 Mohave County, Elementary School
District #16, GO, 5.25%, 7/1/09,
Callable 7/1/07 @ 100, MBIA........ 1,227
1,200 Mohave County, School District #1,
Lake Havasu, GO, 5.20%, 7/1/09,
Callable 7/1/03 @ 101, AMBAC....... 1,215
1,000 Mohave County, School District #1,
Lake Havasu, GO, 4.75%, 7/1/12,
FGIC............................... 946
2,050 Navajo County, School District #10,
Series A, GO, 5.13%, 7/1/12,
Callable 7/1/07 @ 101, FGIC........ 2,012
1,215 Northern Arizona University, Revenue,
Series A, 5.60%, 6/1/05, Callable
6/1/02 @ 102, AMBAC................ 1,250
2,750 Northern Arizona University, Revenue,
6.40%, 6/1/07, Callable 6/1/02 @
101, FGIC.......................... 2,854
1,000 Oro Valley Municipal Property Corp.,
Municipal Water System Revenue,
Canada Hills, 5.45%, 7/1/14,
Callable 7/1/08 @ 101, MBIA........ 1,010
850 Peoria, GO, 5.40%, 4/1/14, FGIC...... 856
2,000 Phoenix Civic Improvement Corp.,
Series B, 6.00%, 7/1/08, Callable
7/1/04 @ 102....................... 2,110
2,000 Phoenix Civic Improvement Corp.,
Water System Revenue, 5.63%,
7/1/09, Callable 7/1/06 @ 100...... 2,081
1,255 Phoenix Street & Highway User,
Revenue, Series A, 5.80%, 7/1/05,
Callable 7/1/02 @ 102, FGIC........ 1,301
725 Phoenix Street & Highway User,
Revenue, 6.25%, 7/1/06, Callable
7/1/02 @ 102....................... 758
</TABLE>
Continued
77
<PAGE> 80
One Group Mutual Funds
Arizona Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$2,000 Phoenix Street & Highway User,
Revenue, 6.50%, 7/1/09, ETM........ $ 2,165
2,500 Phoenix Street & Highway User,
Revenue, Capital Appreciation,
Series A, 0.00%, 7/1/12, FGIC...... 1,314
1,000 Phoenix, GO, Series A, 5.40%,
7/1/07............................. 1,034
3,950 Phoenix, GO, 6.38%, 7/1/13, Callable
7/1/02 @ 102....................... 4,138
1,000 Phoenix, GO, Series 1999, 4.75%,
7/1/19, Callable 7/1/09 @ 101...... 887
990 Phoenix, IDA, Single Family Mortgage
Revenue, Series A, AMT, 5.35%,
6/1/20, Callable 12/1/07 @ 101.50,
GNMA/FNMA/FHLMC.................... 920
1,000 Pima County, Arizona College
District, Certificates of
Participation, Series B, 6.00%,
7/1/07, Callable 7/1/01 @ 101,
AMBAC.............................. 1,024
725 Pima County, GO, 5.60%, 7/1/07,
Callable 7/1/03 @ 101.............. 744
555 Pima County, GO, 6.20%, 7/1/08,
Callable 7/1/02 @ 101.............. 574
1,000 Pima County, GO, 5.00%, 7/1/13,
Callable 7/1/08 @ 101.............. 977
1,500 Pima County, IDA, HealthPartners,
Series A, 5.30%, 4/1/07, MBIA...... 1,533
905 Pima County, IDA, Single Family
Mortgage Revenue, Series A, 6.40%,
8/1/11, Callable 8/1/05 @ 102...... 916
140 Pima County, IDA, Single Family
Mortgage Revenue, Series A, 7.63%,
2/1/12, Callable 2/1/01 @ 101,
FHA................................ 142
815 Pima County, IDA, Single Family
Mortgage Revenue Refunding, Series
B, AMT, 6.15%, 11/1/23, Callable
5/1/07 @ 102, GNMA................. 858
2,060 Pima County, Sewer Revenue, 6.75%,
7/1/15, Callable 7/1/01 @ 101,
FGIC............................... 2,121
1,500 Pima County, Union School District
#1, GO, Series C, 6.88%, 7/1/10,
Prerefunded 7/1/01 @ 101, MBIA..... 1,551
1,000 Pima County, United School District
#1, Tuscon, GO, Series B, 7.20%,
7/1/09, Prerefunded 7/1/00 @ 101... 1,010
2,000 Pima County, United School District
#1, Tuscon, GO, 5.38%, 7/1/09,
FGIC............................... 2,066
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,200 Pinal County, School District #004,
Casa Grande Elementary School
Improvement, GO, 6.00%, 7/1/04,
Callable 7/1/01 @ 101, AMBAC....... $ 1,238
2,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
5.63%, 1/1/06...................... 2,078
1,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
6.50%, 1/1/07, Callable 1/1/01 @
102................................ 1,030
2,015 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
6.00%, 1/1/07...................... 2,140
2,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series B,
5.20%, 1/1/08...................... 2,034
3,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series C,
4.90%, 1/1/08, Callable 1/1/04 @
102................................ 2,979
2,500 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series B,
5.38%, 1/1/09, Callable 1/1/03 @
102................................ 2,537
3,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series D,
6.00%, 1/1/13, Callable 1/1/02 @
102................................ 3,090
1,255 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
5.50%, 1/1/19, Callable 1/1/03 @
100................................ 1,239
2,815 Santa Cruz County, IDA, Citizens
Utility Co., 4.75%, 8/1/20......... 2,712
1,700 Scottsdale, GO, 5.25%, 7/1/06........ 1,744
1,900 Scottsdale, Project of 1989, Series
E, GO, 5.50%, 7/1/14, Callable
7/1/02 @ 101....................... 1,913
2,085 Scottsdale Municipal Property Corp.,
Excise Tax Revenue, 5.38%,
7/1/05............................. 2,142
1,000 Scottsdale Municipal Property Corp.,
Lease Revenue, 6.38%, 5/1/05,
Callable 11/1/02 @ 100............. 1,034
</TABLE>
Continued
78
<PAGE> 81
One Group Mutual Funds
Arizona Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$2,000 Scottsdale Preservation, GO, 5.75%,
7/1/18, Callable 7/1/09 @ 100...... $ 2,036
1,065 Scottsdale Street & Highway User
Revenue, 5.50%, 7/1/07............. 1,104
2,500 Scottsdale, IDA, Hospital Revenue,
Scottsdale Memorial Hospitals,
Series A, 6.13%, 9/1/17, Callable
9/1/07 @ 102, AMBAC................ 2,610
1,000 Sedona Wastewater Excise Tax Revenue,
Capital Appreciation, 0.00%,
7/1/21, MBIA....................... 299
1,000 Sedona Wastewater Excise Tax Revenue,
Capital Appreciation, 0.00%,
7/1/23, MBIA....................... 264
1,000 Show Low, IDA, Hospital Revenue,
Navapache Regional Medical Center,
Series A, 5.50%, 12/1/17, Callable
12/1/07 @ 100, ACA................. 950
2,500 State Certificates of Participation,
6.63%, 9/1/08, Callable 9/1/01 @
102, FSA........................... 2,604
1,000 State Municipal Financing Program,
Certificates of Participation,
Series 27, 7.00%, 8/1/04, Callable
8/1/00 @ 100, BIG.................. 1,002
1,000 State Municipal Financing Program,
Certificates of Participation,
Series 20, 7.70%, 8/1/10,
BIG/ETM............................ 1,174
2,035 State Power Authority Resource,
Revenue, Hoover Uprating Project,
5.40%, 10/1/07, Callable 10/1/03 @
102, MBIA.......................... 2,084
3,000 State Transportation Board Highway,
Revenue, 5.25%, 7/1/07, Callable
7/1/03 @ 102....................... 3,056
500 State Transportation Board Highway,
Revenue, 6.00%, 7/1/10, Callable
7/1/09 @ 100....................... 536
1,030 Student Loan Acquisition Authority,
Series A-1, AMT, 5.40%, 5/1/10,
Callable 11/1/09 @ 102, GSL........ 1,040
1,000 Student Loan Acquisition Authority,
Series A-1, 5.88%, 5/1/18, Callable
11/1/09 @ 102, GSL................. 1,008
2,500 Surprise Municipal Property Corp.,
5.70%, 7/1/20, Callable 7/1/09 @
101, FGIC.......................... 2,508
870 Tempe Excise Tax Revenue, Series A,
5.63%, 7/1/20, Callable 7/1/09 @
100................................ 866
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$3,000 Tempe Unified School District #213,
Project of 1998, Series B, GO,
5.13%, 7/1/14, Callable 7/1/09 @
101, FGIC.......................... $ 2,950
1,635 Tempe, GO, 5.00%, 7/1/10, Callable
7/1/06 @ 101....................... 1,631
1,725 Tucson Street & Highway User Revenue,
Series 1994-E, 5.50%, 7/1/15,
Callable 7/1/10 @ 100, FGIC........ 1,750
2,000 Tucson Water Revenue, Refunding,
Series A, 5.75%, 7/1/12, Callable
7/1/02 @ 102, MBIA................. 2,043
700 University Foundation, Certificates
of Participation, Series 8, 4.90%,
8/1/09, MBIA....................... 693
1,000 University of Arizona, University
Revenues, 6.25%, 6/1/11, Callable
6/1/02 @ 102....................... 1,042
2,000 Water Infrastructure Finance
Authority, Water Quality Revenue,
Series A, 5.75%, 10/1/11, Callable
10/1/09 @ 101...................... 2,105
1,000 Water Infrastructure Finance
Authority, Water Quality Revenue,
Series A, 5.38%, 10/1/15, Callable
10/1/09
@ 101.............................. 1,002
1,600 Water Infrastructure Finance
Authority, Water Quality Revenue,
Series A, 5.50%, 10/1/16, Callable
10/1/09
@ 101.............................. 1,609
1,100 Yavapai County, IDA, Hospital
Facility Revenue, Yavapai Regional
Medical Center, Series A, 5.13%,
12/1/13, Callable 6/1/07 @ 102,
FSA................................ 1,069
1,750 Yuma County, GO, 6.13%, 7/1/12,
Callable 7/1/03 @ 101, AMBAC....... 1,834
1,305 Yuma County, GO, Elementary School
District #1, 5.25%, 7/1/10,
Callable 7/1/07 @ 101, MBIA........ 1,325
3,000 Yuma County, IDA, Multi-Family
Revenue, Series A, 6.10%, 9/20/34,
Callable 9/20/09 @ 106, GNMA....... 2,912
1,000 Yuma County, IDA, Hospital Revenue
Refunding, Yuma Regional Medical
Center, 5.50%, 8/1/09, Callable
8/1/07 @ 102, MBIA................. 1,034
1,000 Yuma County, Municipal Property Corp.
Revenue, Series A, 5.20%, 7/1/09,
Callable 7/1/03 @ 101, AMBAC....... 1,009
</TABLE>
Continued
79
<PAGE> 82
One Group Mutual Funds
Arizona Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,575 Yuma County, Union High School,
District #70, GO, 5.00%, 7/1/06,
Callable 7/1/02 @ 101, FGIC........ $ 1,589
--------
196,296
--------
Total Municipal Bonds 196,296
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (1.2%):
11 One Group Municipal Money Market
Fund, Class I...................... $ 11
2,305 Provident Municipal Cash Fund........ 2,305
--------
Total Investment Companies 2,316
--------
Total (Cost $195,183) (a) $198,612
========
</TABLE>
------------
Percentages indicated are based on net assets of $198,857.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $17. Cost for federal income tax purposes differs from market
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 4,575
Unrealized depreciation...................... (1,163)
-------
Net unrealized appreciation (depreciation)... $ 3,412
=======
</TABLE>
See notes to financial statements.
80
<PAGE> 83
One Group Mutual Funds
Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (95.1%):
Arizona (0.3%):
$1,000 Tucson & Pima County, Single Family
Mortgage Revenue, 0.00%, 12/1/14,
ETM................................ $ 442
--------
California (1.7%):
1,990 San Marcos, Public Facilities
Authority, Public Facilities
Revenue, 0.00%, 3/1/14, ETM........ 957
1,715 San Marcos, Public Facilities
Authority, Public Facilities
Revenue, 0.00%, 1/1/19, ETM........ 595
2,850 San Marcos, Public Facilities
Authority, Public Facilities
Revenue, 0.00%, 9/1/19, ETM........ 952
--------
2,504
--------
Colorado (0.7%):
2,600 El Paso County, Single Family
Mortgage Revenue, 0.00%, 9/1/15,
ETM................................ 1,094
--------
Guam (0.7%):
1,000 Power Authority, Revenue, Series A,
5.25%, 10/1/12, Callable 10/1/09
@ 101.............................. 1,005
--------
Kansas (0.8%):
1,600 Kansas City, Single Family Mortgage
Revenue, Series 1983-A, 0.00%,
12/1/14, ETM....................... 710
1,000 Saline County, Single Family Mortgage
Revenue, Series 1983-A, 0.00%,
12/1/15, ETM....................... 416
--------
1,126
--------
Kentucky (86.4%):
225 Ashland Utility Revenue, 6.65%,
4/1/04............................. 228
1,500 Berea College Utility Revenue, AMT,
5.90%, 6/1/17, Callable 6/1/07 @
102................................ 1,538
200 Boone County, Certificates of
Participation, Public Golf, 6.35%,
11/15/02........................... 207
200 Boone County, Certificates of
Participation, Public Golf, 6.40%,
11/15/03, Callable 11/15/02 @
102................................ 211
250 Boone County, School District Finance
Corp., School Building Revenue,
6.70%, 9/1/06, Prerefunded 9/1/01 @
103................................ 263
310 Boone County, School District Finance
Corp., School Building Revenue,
7.10%, 8/1/07, Prerefunded 8/1/00 @
103................................ 320
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 Boone County, School District Finance
Corp., School Building Revenue,
6.70%, 9/1/07, Prerefunded 9/1/01 @
103................................ $ 1,054
395 Boone County, School District Finance
Corp., School Building Revenue,
7.10%, 8/1/08, Prerefunded 8/1/00 @
103................................ 408
200 Campbell & Kenton Counties,
Sanitation District #1, Sanitation
District Revenue, 6.38%, 8/1/03,
ETM................................ 203
465 Campbell & Kenton Counties,
Sanitation District #1, Sanitation
District Revenue, 7.13%, 8/1/05,
ETM................................ 473
415 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/09, Callable
6/1/02 @ 102....................... 433
445 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/10, Callable
6/1/02 @ 102....................... 464
325 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/11, Callable
6/1/02 @ 102....................... 339
510 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/12, Callable
6/1/02 @ 102....................... 532
100 Danville, Multi-City Lease Revenue,
Metro Sewer District, 6.35%,
2/1/02, Prerefunded 2/1/01 @ 102,
MBIA............................... 103
225 Danville, Multi-City Lease Revenue,
Metro Sewer District, 6.50%,
2/1/04, Prerefunded 2/1/01 @ 102,
MBIA............................... 232
500 Daviess County, Hospital Revenue,
Owensboro-Daviess County, 6.00%,
8/1/04, Callable 8/1/02 @ 102,
MBIA............................... 520
4,500 Development Finance Authority,
Hospital Revenue, Elizabeth, Med-A,
6.00%, 11/1/10, Callable 11/1/01 @
100,
FGIC............................... 4,570
250 Eastern Kentucky University, Revenue,
Construction Educational Buildings,
Series O, 6.70%, 5/1/07,
Prerefunded 5/1/01 @ 102, AMBAC.... 260
425 Economic Development Finance
Authority, Hospital Revenue,
Catholic Health Initiatives
Hospital, 5.38%, 12/1/11, Callable
6/1/08 @ 101....................... 416
2,000 Fayette County School District,
5.38%, 9/1/17, Callable 9/15/09 @
101................................ 1,958
</TABLE>
Continued
81
<PAGE> 84
One Group Mutual Funds
Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 Fayette County, School District
Finance Corp., School Building
Revenue, 5.50%, 9/1/18, Callable
9/15/09 @ 101...................... $ 988
655 Fayette County, School District
Finance Corp., School Building
Revenue, 6.00%, 5/1/02, Callable
11/1/00 @ 102...................... 671
1,300 Fayette County, School District
Finance Corp., School Building
Revenue, 5.38%, 1/1/17, Callable
1/1/07 @ 102....................... 1,268
1,255 Fayette County, School District
Finance Corp., School Building
Revenue, Series A, 5.35%, 1/1/13,
Callable 1/1/07 @ 102.............. 1,255
1,500 Greater Housing Assistance Corp.,
Mortgage Revenue, Series A, 5.90%,
2/1/14, Callable 2/1/03 @ 100,
FHA................................ 1,504
1,505 Hardin County School District
Financial Corp., School District
Revenue, 5.50%, 2/1/14, Callable
2/1/10 @ 101....................... 1,517
960 Hardin County School District
Financial Corp., School Building
Revenue, 5.50%, 2/1/15, Callable
2/1/10 @ 101....................... 962
200 Hardin County, Water District #1,
Waterworks Revenue, 6.70%, 9/1/05,
Callable 3/1/01 @ 102.............. 206
95 Henderson Electric Light & Power
Revenue, 5.70%, 3/1/03, Callable
3/1/01 @ 100....................... 95
1,025 Higher Education Student Loan Corp.,
Insured Student Loan Revenue,
Series C, 6.50%, 6/1/02, GSL....... 1,054
1,500 Higher Education Student Loan Corp.,
Insured Student Loan Revenue,
Series C, AMT, 5.45%, 6/1/03,
GSL................................ 1,520
1,705 Higher Education Student Loan Corp.,
Insured Student Loan Revenue,
Series D, AMT, 7.00%, 12/1/06,
Callable 12/1/01 @ 102, GSL........ 1,780
500 Housing Corp., Revenue, Series A,
5.40%, 1/1/05, Callable 7/1/03 @
102, FHA/VA........................ 507
500 Housing Corp., Revenue, Series A,
5.50%, 1/1/06, Callable 7/1/03 @
102, FHA/VA........................ 508
500 Housing Corp., Revenue, Series A,
5.60%, 1/1/07, Callable 7/1/03 @
102, FHA/VA........................ 507
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 760 Housing Corp., Revenue, Series A,
7.40%, 1/1/10, Callable 7/1/00 @
102, FHA/VA........................ $ 781
275 Housing Corp., Revenue, Series B,
6.20%, 7/1/03, Callable 7/1/02 @
102, FHA/VA........................ 281
1,745 Housing Corp., Revenue, Series D,
5.80%, 7/1/13, Callable 7/1/06 @
102................................ 1,764
410 Infrastructure Authority, Revenue,
Governmental Agencies Program,
5.25%, 8/1/04, Callable 8/1/03 @
102................................ 416
500 Infrastructure Authority, Revenue,
Governmental Agencies Program,
5.40%, 8/1/06, Callable 8/1/03 @
102................................ 510
30 Infrastructure Authority, Revenue,
Governmental Agencies Program,
6.00%, 8/1/11, Prerefunded 8/1/01 @
100................................ 31
80 Infrastructure Authority, Revenue,
Governmental Agencies Program,
6.00%, 8/19/11, Callable 8/1/01
@ 100.............................. 81
500 Infrastructure Authority, Revenue,
Governmental Agencies Program,
5.75%, 8/1/13, Callable 8/1/03 @
102................................ 510
1,000 Infrastructure Authority, Revenue,
Revolving Fund Program, Series E,
6.40%, 6/1/04, Prerefunded 6/1/01 @
102................................ 1,037
710 Infrastructure Authority, Revenue,
Revolving Fund Program, Series E,
6.50%, 6/1/05, Prerefunded 6/1/01 @
102................................ 737
250 Infrastructure Authority, Revenue,
Revolving Fund Program, Series G,
6.10%, 6/1/02...................... 257
250 Interlocal School Transportation
Assoc., Equipment Lease Revenue,
6.00%, 3/1/01...................... 253
375 Interlocal School Transportation
Assoc., Equipment Lease Revenue,
6.00%, 3/1/02...................... 383
1,825 Jefferson County, Capital
Appreciation, Series B, 0.00%,
8/15/06, FSA....................... 1,336
135 Jefferson County, Capital Projects,
7.70%, 6/1/01, ETM................. 139
725 Jefferson County, Capital Projects
Revenue, Series A, 6.10%, 8/15/07,
Callable 2/15/03 @ 102............. 754
</TABLE>
Continued
82
<PAGE> 85
One Group Mutual Funds
Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 Jefferson County, Capital Projects
Revenue, Series A, 5.50%, 4/1/10,
Callable 4/1/06 @ 102, AMBAC....... $ 1,026
1,000 Jefferson County, Capital Projects
Revenue, Series A, 5.50%, 4/1/11,
Callable 4/1/06 @ 102, AMBAC....... 1,022
500 Jefferson County, Capital Projects,
First Mortgage Revenue, 6.38%,
12/1/07, ETM....................... 525
500 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.05%, 5/1/02,
AMBAC.............................. 512
1,000 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.10%, 5/1/03,
Callable 5/1/02 @ 102, AMBAC....... 1,036
300 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.20%, 5/1/04,
Callable 5/1/02 @ 102, AMBAC....... 313
500 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.38%, 5/1/08,
Callable 5/1/02 @ 102, AMBAC....... 523
930 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 5.65%, 1/1/10,
Callable 1/1/07 @ 102.............. 930
675 Jefferson County, Hospital Revenue,
Series C, 6.20%, 10/1/04,
Prerefunded 10/1/02 @ 102, MBIA.... 709
1,325 Jefferson County, Hospital Revenue,
Series C, 6.20%, 10/1/04, Callable
10/1/02 @ 102, MBIA................ 1,386
625 Jefferson County, School District
Finance Corp., School Building
Revenue, 7.15%, 9/1/04, Prerefunded
9/1/00 @ 103....................... 647
675 Jefferson County, School District
Finance Corp., School Building
Revenue, 7.20%, 9/1/05, Prerefunded
9/1/00 @ 103....................... 698
1,430 Jefferson County, School District
Finance Corp., School Building
Revenue, 5.25%, 7/1/07, Callable
7/1/05 @ 102,
MBIA............................... 1,457
3,320 Jefferson County, School District
Finance Corp., School Building
Revenue, Series A, 5.25%, 1/1/19,
Callable 7/1/09 @ 101, FSA......... 3,156
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 460 Jefferson County, School District
Finance Corp., School Building
Revenue, Series B, 6.00%, 1/1/04,
Prerefunded 7/1/02 @ 102,
MBIA/ETM........................... $ 480
540 Jefferson County, School District
Finance Corp., School Building
Revenue, Series B, 6.00%, 1/1/04,
Callable 7/1/02 @ 102, MBIA........ 561
1,000 Jefferson County, School District
Finance Corp., School Building
Revenue, Series B, 5.25%, 6/1/17,
Callable 7/1/09 @ 101, FSA......... 964
2,315 Junction City, College Revenue,
Centre College Project, 5.70%,
4/1/12, Callable 4/1/07 @ 102...... 2,345
500 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.10%, 3/1/04, Callable 3/1/02 @
101, FSA........................... 514
1,000 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.20%, 3/1/05, Callable 3/1/02 @
101, FSA........................... 1,029
1,050 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.30%, 3/1/15, Callable 3/1/02 @
101, FSA........................... 1,073
500 Kenton County, Airport Revenue,
International, Series B, AMT,
5.75%, 3/1/07, Callable 3/1/03 @
102, FSA........................... 513
500 Kenton County, Airport Revenue,
International, Series B, AMT,
5.75%, 3/1/08, Callable 3/1/03 @
102, FSA........................... 512
100 Kenton County, School District
Finance Corp., School Building
Revenue, 6.50%, 12/1/02,
Prerefunded 12/1/01 @ 102.......... 105
325 Kenton County, School District
Finance Corp., School Building
Revenue, 5.25%, 7/1/07, Callable
7/1/03 @ 102....................... 331
495 Kenton County, Water District,
Waterworks Revenue, District #001,
6.30%, 2/1/02, FGIC................ 508
1,015 Kenton County, Water District,
Waterworks Revenue, District #001,
6.38%, 2/1/04, Callable 2/1/02 @
103, FGIC.......................... 1,068
175 Lexington-Fayette Urban County
Government, Economic Development
Revenue, 7.54%, 12/1/03............ 175
</TABLE>
Continued
83
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Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 335 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Capital Projects Mortgage
Revenue, 6.20%, 4/1/05, Prerefunded
4/1/02 @ 102....................... $ 350
355 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Capital Projects Mortgage
Revenue, 6.30%, 4/1/06, Prerefunded
4/1/02 @ 102....................... 371
380 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Capital Projects Mortgage
Revenue, 6.40%, 4/1/07, Prerefunded
4/1/02 @ 102....................... 398
405 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Capital Projects Mortgage
Revenue, 6.40%, 4/1/08, Prerefunded
4/1/02 @ 102....................... 424
425 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Capital Projects Mortgage
Revenue, 6.40%, 4/1/09, Prerefunded
4/1/02 @ 102....................... 445
425 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Greenspace Project Revenue,
6.75%, 12/1/05, Prerefunded 12/1/00
@ 102.............................. 438
240 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Greenspace Project Revenue,
6.75%, 12/1/07, Prerefunded 12/1/00
@ 102.............................. 247
500 Lexington-Fayette Urban County
Government, Public Facilities
Corp., Sewer System Revenue, 6.35%,
7/1/07, Callable 7/1/02 @ 102,
MBIA............................... 524
935 Lexington-Fayette Urban County
Government, Revenue, University of
Kentucky Alumni Assoc., Inc.,
6.50%, 11/1/07, Prerefunded 11/1/04
@ 102, MBIA........................ 1,013
1,000 Lexington-Fayette Urban County
Government, Revenue, University of
Kentucky Alumni Assoc., Inc.,
5.00%, 11/1/14, Callable 11/1/08 @
102, MBIA.......................... 954
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,930 Lexington-Fayette Urban County
Government, Sewer System Revenue,
6.35%, 7/1/09, Callable 7/1/02 @
102, MBIA.......................... $ 2,023
1,065 Lexington-Fayette Urban County
Revenue, 5.13%, 10/1/16, Callable
7/15/08 @ 102, FSA................. 1,018
1,420 Louisville & Jefferson County,
Airport Authority Revenue, AMT,
6.00%, 7/1/10, Callable 7/1/07 @
102,
MBIA............................... 1,494
1,500 Louisville & Jefferson County,
Metropolitan Sewer District, Sewer
Revenue, Series A, 5.50%, 5/15/15,
Callable 11/15/09 @ 101, FGIC...... 1,508
825 Louisville & Jefferson County, Sewer
& Drain System Revenue, 6.40%,
5/15/08, Prerefunded 11/15/04 @
102,
AMBAC.............................. 891
205 Louisville Parking Authority Revenue,
6.60%, 12/1/03, Prerefunded 6/1/01
@ 103.............................. 215
300 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.00%,
4/1/05, Callable 10/1/00 @ 102..... 307
295 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.15%,
12/1/05, Prerefunded 12/1/02 @
102................................ 310
200 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.40%,
12/1/07, Prerefunded 12/1/02 @
102................................ 211
1,000 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.40%, 11/15/04, Callable
11/15/00 @ 102..................... 1,015
500 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.63%, 11/15/07, Callable
11/15/00 @ 102..................... 508
1,540 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.75%, 11/15/09, Callable
11/15/00 @ 102..................... 1,572
1,530 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.75%, 11/15/10, Callable
11/15/00 @ 102..................... 1,562
</TABLE>
Continued
84
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One Group Mutual Funds
Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 McCracken County, Hospital Revenue,
Mercy Health System, Series A,
6.20%, 11/1/05, Callable 11/1/04 @
102, MBIA.......................... $ 1,065
2,090 McCracken County, Hospital Revenue,
Mercy Health System, Series A,
6.40%, 11/1/07, Callable 11/1/04 @
102, MBIA.......................... 2,244
505 McCreary County, School District
Finance Corp., School Building
Revenue, 6.60%, 10/1/08, Callable
10/1/01 @ 103...................... 532
215 Mercer County, School District
Finance Corp., School Building
Revenue, 6.38%, 12/1/07, Callable
12/1/01 @ 102...................... 226
300 Morehead State University, Housing &
Dining System Revenue, Series I,
6.10%, 11/1/05, Callable 11/1/01 @
102, AMBAC......................... 310
200 Morehead State University, Housing &
Dining System Revenue, Series M,
6.30%, 11/1/08, Callable 11/1/01 @
102, AMBAC......................... 207
215 Muhlenberg County, School District
Finance Corp., School Building
Revenue, 5.85%, 8/1/09, Callable
8/1/02 @ 102....................... 222
750 Muhlenberg County, School District
Finance Corp., School Building
Revenue, Second Series, 5.85%,
8/1/10, Callable 8/1/02 @ 102...... 775
240 Murray State University, Revenue,
Series G Second Series, 5.60%,
5/1/06, Callable 5/1/03 @ 102...... 246
460 Murray State University, Revenue,
Series G Second Series, 5.60%,
5/1/07, Callable 5/1/03 @ 102...... 471
530 Northern Kentucky University,
Educational Buildings Revenue,
6.10%, 5/1/06, Callable 5/1/02 @
102, AMBAC......................... 553
195 Owensboro, Electric Light & Power
Revenue, 6.75%, 1/1/03, Callable
7/1/00 @ 100, ETM.................. 200
205 Paducah Electric Plant Board Revenue,
6.30%, 1/1/08, Callable 1/1/01 @
102, AMBAC......................... 211
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 300 Paducah Waterworks Revenue, 6.60%,
7/1/05, Prerefunded 7/1/01 @ 102,
MBIA............................... $ 312
1,085 Perry County, School District Finance
Corp., School Building Revenue,
6.25%, 7/1/09, Callable 7/1/02 @
100................................ 1,137
1,500 Property and Building Series A
Project 66, 5.60%, 5/1/16, MBIA,
Callable 5/1/10 @ 100.............. 1,511
255 Richmond Water, Gas & Sewer Revenue,
Series A, 5.00%, 7/1/14, Callable
7/1/08 @ 102, MBIA................. 244
100 Richmond Water, Gas & Sewer Revenue,
Series B, 5.00%, 7/1/14, Callable
7/1/08 @ 102, MBIA................. 95
1,000 Shelby County, School District
Finance Corp., School Building
Revenue, 5.00%, 5/1/16, Callable
5/1/09 @ 101....................... 937
545 Shelby County, School District
Finance Corp., School Building
Revenue, 6.10%, 9/1/02, Prerefunded
9/1/01 @ 103....................... 571
100 Shelby County, School District
Finance Corp., School Building
Revenue, 6.25%, 9/1/03, Prerefunded
9/1/01 @ 103....................... 105
500 Shelby County, School District
Finance Corp., School Building
Revenue, 6.50%, 9/1/05, Prerefunded
9/1/01 @ 103....................... 526
200 Shelby County, School District
Finance Corp., School Building
Revenue, 6.50%, 9/1/07, Prerefunded
9/1/01 @ 103....................... 210
1,245 State Economic Development Finance
Authority, Hospital Revenue,
Southern Central Nursing Homes,
6.00%, 7/1/27, Callable 1/1/08 @
105, FHA, MBIA..................... 1,252
1,000 State Property & Buildings Commission
Revenues, Project #65, 5.25%,
2/1/02............................. 1,010
1,475 State Property & Buildings Commission
Revenues, Project #53, 6.25%,
10/1/02, Callable 10/1/01 @ 102.... 1,526
1,000 State Property & Buildings Commission
Revenues, Project #54, 5.90%,
9/1/07, Callable 9/1/02 @ 102...... 1,036
1,000 State Property & Buildings Commission
Revenues, Project #56, 5.70%,
9/1/06, Callable 9/1/04 @ 102...... 1,045
1,000 State Property & Buildings Commission
Revenues, Project #56, 5.80%,
9/1/07, Callable 9/1/04 @ 102...... 1,046
</TABLE>
Continued
85
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One Group Mutual Funds
Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 State Property & Buildings Commission
Revenues, Project #59, 5.30%,
5/1/07, Callable 11/1/05 @ 102..... $ 1,021
1,000 State Property & Buildings Commission
Revenues, Project #59, 5.38%,
11/1/09, Callable 11/1/05 @ 102.... 1,021
1,000 State Property & Buildings Commission
Revenues, Project #63, 5.10%,
11/1/18, Callable 11/1/09 @ 100.... 932
2,000 State Property & Buildings Commission
Revenues, Project #64, 5.75%,
5/1/14, Callable 11/1/09 @ 100..... 2,057
275 State Property & Buildings Commission
Revenues, Toyota Corp., 6.40%,
11/1/01............................ 282
1,500 State Property & Buildings Commission
Revenues, Project #65, 6.00%,
2/1/11, Callable 2/1/10 @ 100,
FSA................................ 1,601
200 State Turnpike Authority, Economic
Development, Recovery Road Revenue,
6.13%, 7/1/07, ETM................. 207
750 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.70%,
1/1/03............................. 766
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.20%,
7/1/03, AMBAC...................... 1,014
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.40%,
7/1/05, AMBAC...................... 1,027
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 6.50%,
7/1/08, AMBAC...................... 1,100
2,750 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.50%,
7/1/08, AMBAC...................... 2,847
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.50%,
7/1/09, AMBAC...................... 1,035
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 0.00%,
1/1/10, FGIC....................... 605
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$2,600 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.63%,
7/1/10, Callable 7/1/05 @ 102,
AMBAC.............................. $ 2,683
500 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.75%,
7/1/11, Callable 7/1/05 @ 102,
AMBAC.............................. 518
465 State Turnpike Authority, Resource
Recovery Revenue, 6.63%, 7/1/08,
ETM................................ 490
1,000 State Turnpike Authority, Resource
Recovery Revenue, 1985 Series A,
6.00%, 7/1/09, Callable 7/1/00 @
100................................ 1,001
185 State Turnpike Authority, Toll Road
Revenue Refunding, 6.13%, 7/1/08,
ETM................................ 193
1,000 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, 6.60%, 5/1/01... 1,018
535 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, 6.30%, 5/1/02,
Callable 11/1/01 @ 102............. 550
475 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, Southeast,
6.30%, 5/1/05, Callable 11/1/01 @
102................................ 494
1,000 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.38%, 5/1/06,
Callable 5/1/03 @ 102.............. 1,022
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/07,
Callable 5/1/03 @ 102.............. 510
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/08,
Callable 5/1/03 @ 102.............. 509
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/09,
Callable 5/1/03 @ 102.............. 508
330 Versailles County, Water & Sewer,
6.30%, 12/1/09, Callable 12/1/01 @
103................................ 347
</TABLE>
Continued
86
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Kentucky Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 950 Winchester Utilities Revenue, 5.30%,
7/1/09, Callable 7/1/03 @ 102...... $ 959
--------
126,402
--------
Louisiana (2.2%):
1,000 Housing Finance Agency, Single Family
Mortgage Revenue, Series A-1,
6.65%, 6/1/15, Callable 12/1/07 @
104, GNMA/FNMA..................... 1,046
4,300 New Orleans Home Mortgage Authority,
Single Family Mortgage Revenue,
Series A, 0.00%, 10/1/15, MBIA,
ETM................................ 1,798
1,000 Public Facilities Authority, Revenue,
Series B, 0.00%, 12/1/19, ETM...... 319
--------
3,163
--------
Mississippi (0.6%):
2,500 Home Corp., Single Family Mortgage
Revenue, 0.00%, 9/15/16, Callable
3/15/04 @ 41.70, ETM............... 856
--------
Puerto Rico (0.9%):
2,000 Commonwealth Highway & Transportation
Authority, Transportation Revenue,
Series A, 0.00%, 7/1/17, AMBAC..... 778
1,480 Puerto Rico Commonwealth, 0.00%,
7/1/17, MBIA....................... 576
--------
1,354
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas (0.8%):
$1,000 Central Housing Finance Corp., Single
Family Mortgage Revenue, Series A,
0.00%, 9/1/16, ETM/VA.............. $ 392
1,850 Port Arthur Housing Finance Corp.,
Single Family Mortgage Revenue,
0.00%, 3/1/15...................... 799
--------
1,191
--------
Total Municipal Bonds 139,137
--------
DAILY DEMAND NOTES (2.1%):
Kentucky (2.1%):
3,000 Louisville & Jefferson County
Regional Airport Authority, Special
Facilities, AMT, Series B, 4.55%,
1/1/29*............................ 3,000
--------
Total Daily Demand Notes 3,000
--------
INVESTMENT COMPANIES (1.8%):
467 One Group Municipal Money Market
Fund, Class I...................... 467
2,165 Provident Municipal Cash Fund........ 2,165
--------
Total Investment Companies 2,632
--------
Total (Cost $142,086) (a) $144,769
========
</TABLE>
------------
Percentages indicated are based on net assets of $146,258.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by net unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $3,260
Unrealized depreciation...................... (577)
------
Net unrealized appreciation (depreciation)... $2,683
======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
87
<PAGE> 90
One Group Mutual Funds
Louisiana Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (98.0%):
Louisiana (98.0%):
$1,165 Ascension Parish, Gravity Drain,
Sales & Use Tax Revenue, 5.40%,
12/1/07, Callable 12/1/06 @ 100,
FGIC............................... $ 1,193
1,230 Ascension Parish, Gravity Drain,
Sales & Use Tax Revenue, 5.50%,
12/1/08, Callable 12/1/06 @ 100,
FGIC............................... 1,262
2,500 Bastrop, Industrial Development
Board, PCR, International Paper Co.
Project, 6.90%, 3/1/07, Callable
3/1/02 @ 102....................... 2,594
765 Baton Rouge, Public Improvements,
Sales & Use Tax Revenue, 6.38%,
8/1/09, Callable 8/1/01 @ 101.50,
FSA................................ 792
200 Baton Rouge, Sales & Use Tax Revenue,
6.00%, 8/1/08, Prerefunded 8/1/01
@ 101.50, FSA...................... 206
805 Bossier City, Public Improvements,
Sales & Use Tax Revenue, Series ST,
6.20%, 11/1/07, Callable 11/1/01 @
102, AMBAC......................... 836
750 Caddo Parish, GO, 5.25%, 2/1/08,
Callable 2/1/05 @ 100, MBIA........ 757
470 Caddo Parish, Industrial Development
Board, Wal-Mart Stores, Inc.
Project, 5.95%, 11/1/07, Callable
11/1/00 @ 100...................... 471
60 East Baton Rouge, Mortgage Financing
Authority, Series B, 5.30%,
10/1/14............................ 57
500 East Baton Rouge Parish, Sales & Use
Tax Revenue, 5.90%, 2/1/16, FGIC... 514
1,000 East Baton Rouge Parish, Public
Improvements, Sales & Use Tax
Revenue, Series A, 5.50%, 2/1/11,
Callable 2/1/09 @ 101, FGIC........ 1,025
1,595 East Baton Rouge Parish, Public
Improvements, Sales & Use Tax
Revenue, Series A, 5.50%, 2/1/14,
Callable 2/1/09 @ 101, FGIC........ 1,606
1,310 East Baton Rouge Parish, Sales & Use
Tax Revenue, 5.50%, 2/1/15,
Callable 2/1/09 @ 101.............. 1,313
500 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/07, Callable 2/1/05 @ 101.50,
FGIC............................... 523
845 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/08, Callable 2/1/05 @ 101.50,
FGIC............................... 882
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 910 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/09, Callable 2/1/05 @ 101.50,
FGIC............................... $ 948
2,280 East Baton Rouge Parish, Series ST-A,
8.00%, 2/1/02, FGIC................ 2,394
3,500 Government Facilities Revenue, 5.25%,
12/1/18, AMBAC..................... 3,354
1,560 Houma, Utilities Revenue, 6.13%,
1/1/07, Callable 1/1/02 @ 102,
FGIC............................... 1,618
1,865 Housing Finance Agency, Single Family
Mortgage Revenue, 5.60%, 12/1/17,
Callable 12/1/7 @ 102.............. 1,756
195 Housing Finance Agency, Single Family
Mortgage Revenue, Series A-1,
5.70%, 6/1/15, Callable 6/1/05 @
102................................ 196
720 Housing Finance Agency, Single Family
Mortgage Revenue, Series B, 6.00%,
6/1/15............................. 723
460 Housing Finance Agency, Single Family
Mortgage Revenue, Series D-2, AMT,
6.10%, 12/1/11, Callable 12/1/06 @
102................................ 466
680 Iberia Home Mortgage Authority,
Single Family Mortgage Revenue,
7.38%, 1/1/11, Callable 7/1/03 @
103................................ 707
250 Iberville School District #5, 5.75%,
10/1/03, FSA....................... 257
1,680 Jefferson Parish, Drain Sales Tax
Revenue, 6.50%, 11/1/06,
Prerefunded 11/1/01 @ 100, AMBAC... 1,724
300 Jefferson Parish, Hospital Services
Revenue, District #1, 5.10%,
1/1/05, Callable 1/1/04 @ 102,
FGIC............................... 302
700 Jefferson Parish, Sales & Use Tax
Revenue, 5.00%, 2/1/13, Callable
2/1/06 @ 102, AMBAC................ 673
500 Jefferson Parish, School Board Sales
& Use Tax Revenue, 6.05%, 2/1/02,
MBIA............................... 511
1,100 Jefferson Parish, School Board Sales
& Use Tax Revenue, 6.15%, 2/1/03,
Callable 2/1/02 @ 102, MBIA........ 1,137
2,060 Jefferson Parish, School Board Sales
& Use Tax Revenue, 6.25%, 2/1/08,
Callable 2/1/02 @ 102, MBIA........ 2,140
2,070 Jefferson Parish, School Board Sales
& Use Tax Revenue, 0.00%, 9/1/09,
FSA................................ 1,279
</TABLE>
Continued
88
<PAGE> 91
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Louisiana Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$3,225 Jefferson, Sales Tax District,
Special Tax Revenue, 6.75%,
12/1/06, Callable 12/1/02 @ 100,
FGIC............................... $ 3,362
1,000 Jefferson, Sales Tax District,
Special Tax Revenue, 0.00%,
12/1/13, FSA....................... 476
855 Kenner, Sales & Use Tax Revenue,
5.75%, 6/1/06, Callable 6/1/02 @
103, FGIC.......................... 887
200 Lafayette Parish, Public Improvement
Sales Tax Revenue, 5.50%, 3/1/07,
Callable 3/1/03 @ 102, FGIC........ 204
1,000 Lafayette Parish, Public Improvement
Sales Tax Revenue, Series B, 5.35%,
3/1/13, Callable 3/1/09 @ 101.50... 1,002
1,695 Lafayette Parish, Public Improvement
Sales Tax Revenue, Series B, 5.45%,
3/1/14, Callable 3/1/09 @ 101.50... 1,703
1,985 Lafayette Parish, Public Improvement
Sales Tax Revenue, Series B, 5.60%,
3/1/17, Callable 3/1/09 @ 101.50... 1,987
250 Lafayette Parish, Public Power
Authority, 5.25%, 11/1/09, Callable
11/1/03 @ 102, AMBAC............... 252
750 Lafourche Parish, Hospital Service,
District #3, Hospital Revenue,
5.50%, 10/1/04, Callable 10/1/03 @
102................................ 746
650 Lafourche Parish, Water District #1,
Water Revenue, 5.63%, 1/1/01....... 653
500 Lincoln Parish, School District #1,
GO, Ruston, 6.20%, 3/1/03, Callable
3/1/01
@ 100, MBIA........................ 506
1,465 Lincoln Parish, School District #1,
GO, Ruston, 6.40%, 3/1/05, Callable
3/1/01
@ 100, MBIA........................ 1,483
150 Louisiana State University,
Agricultural & Mechanical College,
5.40%, 7/1/05, Callable 7/1/04 @
102, FGIC.......................... 154
250 Louisiana State University,
Agricultural & Mechanical College,
5.50%, 7/1/06, Callable 7/1/07 @
102, FGIC.......................... 258
500 Louisiana State University,
Agricultural & Mechanical College,
5.75%, 7/1/14, Callable 7/1/04 @
102, FGIC.......................... 507
1,580 Louisiana State University,
Agricultural & Mechanical College,
University Revenue, 6.00%, 7/1/07,
Callable 7/1/06 @ 102, MBIA........ 1,677
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,120 Louisiana State University,
Agricultural & Mechanical College,
University Revenue, 5.50%, 7/1/13,
Callable 7/1/06 @ 102, MBIA........ $ 1,131
1,300 Monroe Parish, Special School
District, GO, 7.00%, 3/1/02,
MBIA............................... 1,348
1,390 Monroe Parish, Special School
District, GO, 7.00%, 3/1/03,
MBIA............................... 1,467
1,230 Monroe Parish, Special School
District, GO, 5.35%, 3/1/05,
FGIC............................... 1,257
1,320 Monroe Parish, Special School
District, GO, 5.35%, 3/1/06,
Callable 3/1/05 @ 100, FGIC........ 1,345
500 Monroe Parish, Special School
District, GO, 5.35%, 3/1/09,
Callable 3/1/05 @ 100, FGIC........ 506
1,000 New Orleans, 5.13%, 12/1/18, Callable
12/1/07 @ 100, AMBAC............... 930
500 New Orleans Home Mortgage, Special
Obligation, 6.25%, 1/15/11, ETM.... 542
1,000 New Orleans Sewer Service, Revenue,
5.38%, 6/1/14, FGIC, Callable
6/1/01 @ 101....................... 997
1,000 New Orleans Sewer Service, Revenue,
5.00%, 6/1/18, Callable 6/1/08 @
101, MBIA.......................... 918
350 New Orleans, GO, 5.85%, 11/1/09,
Prerefunded 11/1/05 @ 100, FGIC.... 367
1,000 New Orleans, GO, 5.88%, 10/1/11,
Callable 10/1/05 @ 101, AMBAC...... 1,034
2,000 New Orleans, GO, 0.00%, 9/1/16,
AMBAC.............................. 792
4,935 New Orleans, GO, 0.00%, 9/1/17,
AMBAC.............................. 1,828
1,220 Office Facilities Corp., 5.50%,
3/1/11, Callable 3/1/09 @ 101,
MBIA............................... 1,249
555 Orleans Parish School Board, Public
School Capital Refinancing, 6.00%,
6/1/09, MBIA....................... 592
250 Orleans Parish School District, GO,
5.30%, 9/1/10, Callable 9/1/05 @
100, MBIA.......................... 252
1,000 Orleans Parish School District, GO,
Series A, 5.13%, 9/1/15, Callable
3/1/08 @ 100, FGIC................. 959
1,000 Ouachita Parish, East Ouachita School
District, GO, 5.00%, 3/1/19,
Callable 3/1/09 @ 100, FGIC........ 911
</TABLE>
Continued
89
<PAGE> 92
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Louisiana Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,000 Ouachita Parish, Hospital Service
District #1, Glenwood Regional
Medical Center, Health Care
Revenue, 5.70%, 5/15/16, Callable
5/15/10 @ 100, FSA................. $ 1,007
2,525 Ouachita Parish, Hospital Service
District #1, Glenwood Regional
Medical Center, Health Care
Revenue, 7.50%, 7/1/06, Prerefunded
7/1/01 @ 102....................... 2,646
2,000 Ouachita Parish, West Ouachita School
District, Series A, 6.50%, 3/1/03,
Callable 3/1/01 @ 102, FSA......... 2,066
1,440 Plaquemines Parish, GO, 6.40%,
8/1/04, Callable 8/1/01 @ 102,
AMBAC.............................. 1,492
420 Plaquemines Parish, Sales & Use Tax
Revenue, 6.70%, 12/1/08,
Prerefunded 12/1/01 @ 102.......... 440
410 Plaquemines Parish, Sales & Use Tax
Revenue, 6.70%, 12/1/09,
Prerefunded 12/1/01 @ 102.......... 430
605 Plaquemines Parish, School Board,
Sales & Use Tax Revenue, 6.65%,
3/1/05, Prerefunded 3/1/02 @ 102... 635
2,180 Public Facilities Authority, Revenue,
Alton Ochsner Medical Foundation,
Series A, 6.30%, 5/15/04, Callable
5/15/02 @ 102, MBIA................ 2,273
100 Public Facilities Authority, Revenue,
Alton Ochsner Medical Foundation,
6.00%, 5/15/17, Callable 5/15/02 @
100, MBIA.......................... 101
1,000 Public Facilities Authority, Revenue,
Alton Ochsner Medical Project,
5.75%, 5/15/11, Callable 5/15/02 @
100, MBIA.......................... 1,008
1,650 Public Facilities Authority, Revenue,
Dillard University, 5.00%, 2/1/18,
Callable 2/10/08 @ 102, AMBAC...... 1,513
1,000 Public Facilities Authority, Revenue,
Indexed Caps, 5.88%, 2/15/11,
Callable 2/15/03 @ 102, FGIC....... 1,028
500 Public Facilities Authority, Revenue,
Lafayette General Medical Center
Project, 6.05%, 10/1/04, Callable
10/1/02 @ 102, FSA................. 524
500 Public Facilities Authority, Revenue,
Loyola University, 7.20%, 10/1/00,
Callable 8/28/00 @ 102............. 503
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,960 Public Facilities Authority, Revenue,
Loyola University, 6.60%, 4/1/05,
Callable 4/1/02 @ 102.............. $ 2,049
2,025 Public Facilities Authority, Revenue,
Loyola University, 5.63%, 10/1/10,
Callable 10/1/07 @ 102, MBIA....... 2,100
1,135 Public Facilities Authority, Revenue,
Mary Bird Perkins Cancer Center,
5.50%, 1/1/04, FSA................. 1,157
8,000 Public Facilities Authority, Revenue,
Multi-Family, Series A, 0.00%,
2/1/20,
ETM................................ 2,485
7,500 Public Facilities Authority, Revenue,
Multi-Family, Series B, 0.00%,
12/1/19,
ETM................................ 2,393
500 Public Facilities Authority, Revenue,
Our Lady of Lake Regional Center,
5.70%, 12/1/04, Callable 12/1/01 @
102,
MBIA............................... 517
390 Public Facilities Authority, Revenue,
Our Lady of Lake Regional Center,
5.90%, 12/1/06, Callable 12/1/01 @
102,
MBIA............................... 405
920 Public Facilities Authority, Revenue,
Pendelton Memorial Methodist
Hospital, 5.00%, 6/1/08............ 823
2,145 Public Facilities Authority, Revenue,
Tulane University, 6.25%, 7/15/06,
Callable 7/15/01 @ 102............. 2,219
735 Public Facilities Authority, Revenue,
Tulane University, 5.55%, 10/1/07,
Callable 10/1/06 @ 102, AMBAC...... 761
1,605 Public Facilities Authority, Revenue,
Tulane University, 5.75%, 10/1/09,
Callable 10/1/06 @ 102, AMBAC...... 1,678
225 Public Facilities Authority, Revenue,
Tulane University, Series A-1,
5.80%, 2/15/04, Callable 2/15/03 @
102, FGIC.......................... 233
1,235 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 6.85%,
10/1/05, Prerefunded 10/1/02 @
102................................ 1,310
730 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 5.40%,
10/1/05, Callable 10/1/04 @ 102,
FGIC............................... 745
</TABLE>
Continued
90
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Louisiana Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,715 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 5.50%,
10/1/06, Callable 10/1/04 @ 102,
FGIC............................... $ 1,759
500 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 6.00%,
10/1/10, FSA....................... 529
2,000 Public Facilities Authority, Revenue,
Xavier University of Louisiana,
5.13%, 9/1/12, Callable 9/1/07 @
102, MBIA.......................... 1,971
1,000 Shreveport, Certificates of
Indebtedness, Revenue, Series A,
5.00%, 10/1/16, Callable 10/1/09 @
102, AMBAC......................... 928
480 Shreveport, GO, 6.20%, 3/1/02,
Prerefunded 3/1/01 @ 100, AMBAC.... 486
480 Shreveport, GO, 5.90%, 2/1/07,
Prerefunded 2/1/03 @ 100........... 493
500 Shreveport, Water & Sewer Revenue,
Series A, 6.25%, 12/1/03, FGIC..... 523
400 Slidell, GO, 5.00%, 3/1/13, Callable
3/1/06 @ 100, AMBAC................ 385
1,000 South Port Community, Port Revenue,
Cargill, Inc. Project, 5.85%,
4/1/17, Callable 4/1/07 @ 102...... 997
750 St. Charles Parish, Public
Improvements, Sales Tax Revenue,
6.60%, 11/1/07, Callable 11/1/00 @
102................................ 766
2,350 St. Charles Parish, School District
#1, GO, 6.45%, 3/1/06, Prerefunded
3/1/02 @ 100, AMBAC................ 2,418
870 St. John Baptist Parish, School
District #1, GO, 6.25%, 3/1/05,
Prerefunded 3/1/02 @ 100........... 892
250 St. Tammany Parish, School Board
Sales & Use Tax Revenue, 5.75%,
4/1/03, Callable 4/1/02 @ 102,
FGIC............................... 256
250 St. Tammany Parish, Sales & Use Tax
Revenue, 5.75%, 4/1/06, Callable
4/1/02 @ 102, FGIC................. 258
1,815 St. Tammany Parish, Hospital Service,
District #1, Hospital Revenue,
6.30%, 7/1/07, Callable 7/1/02 @
102................................ 1,897
1,225 St. Tammany Parish, Public Financing
Authority Revenue, Christwood
Project, 5.25%, 11/15/08........... 1,112
1,000 Stadium & Exposition District Revenue
Bond, 5.25%, 7/1/16, Callable
7/1/09 @ 102, FGIC................. 967
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,665 Stadium & Exposition District, Hotel
Occupancy Tax & Stadium Revenue,
Series A, 5.65%, 7/1/07, Callable
7/1/04 @ 102, FGIC................. $ 1,745
500 State Energy & Power Authority
Revenue, 6.00%, 1/1/13, Callable
1/1/01 @ 100, FGIC................. 503
1,000 State GO, 6.00%, 8/1/04, FGIC........ 1,045
400 State GO, 5.38%, 8/1/05, MBIA........ 410
750 State GO, Series A, 5.60%, 5/15/07,
Callable 5/15/05 @ 102, MBIA....... 778
250 State GO, 5.60%, 8/1/07, MBIA........ 260
250 State GO, Series A, 5.70%, 5/15/08,
Callable 5/15/05 @ 100, MBIA....... 260
250 State GO, 5.60%, 8/1/08, MBIA........ 260
2,000 State GO, Series A, 6.50%, 4/15/06,
FGIC............................... 2,160
2,875 State GO, Series A, 5.80%, 8/1/10,
MBIA............................... 3,029
500 State GO, Series A, 6.10%, 5/1/11,
Prerefunded 5/1/04 @ 102, AMBAC.... 531
3,500 State GO, Series B, 5.63%, 8/1/13,
MBIA............................... 3,614
500 State Miscellaneous Taxes Refunding
Bond, Series A, 5.70%, 8/1/08,
MBIA............................... 523
2,000 State Office Facilities, Corporate
Lease Revenue, Capitol Complex
Project, Series A, 5.50%, 3/1/13,
Callable 3/1/09 @ 101, MBIA........ 2,023
1,650 State Office Facilities, Corporate
Lease Revenue, Capitol Complex
Project, Series A, 5.13%, 3/1/16,
Callable 3/1/09 @ 101, MBIA........ 1,568
1,000 State Office Facilities, Corporate
Lease Revenue, Capitol Complex
Project, Series A, 5.38%, 6/1/19,
Callable 3/1/09 @ 101, MBIA........ 962
500 State Offshore Terminal Authority,
Deepwater Port Revenue, 1st Stage,
Series B, 6.10%, 9/1/02............ 512
1,325 State Offshore Terminal Authority,
Deepwater Port Revenue, 1st Stage,
Series B, 6.25%, 9/1/04............ 1,382
1,435 Tangipahoa Parish, Consolidated
School District #1, GO, 6.15%,
12/1/07, Callable 12/1/02 @ 100.... 1,473
</TABLE>
Continued
91
<PAGE> 94
One Group Mutual Funds
Louisiana Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,250 Tangipahoa Parish, Hospital Service
District #1, Hospital Revenue,
6.13%, 2/1/14, Callable 2/1/04 @
102,
AMBAC.............................. $ 1,302
690 Terrebonne Parish, Waterworks
District #1, Water Revenue, 5.70%,
11/1/06, Callable 11/1/03 @ 102,
FGIC............................... 719
500 Terrebonne Parish, Waterworks
District #1, Water Revenue, 5.75%,
11/1/08, Callable 11/1/03 @ 102,
FGIC............................... 520
--------
145,255
--------
Total Municipal Bonds 145,255
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (0.0%):
3 One Group Municipal Money Market
Fund, Class I...................... $ 3
6 Provident Municipal Cash Fund........ 6
--------
Total Investment Companies 9
--------
Total (Cost $143,597) (a)........................ $145,264
========
</TABLE>
------------
Percentages indicated are based on net assets of $148,273.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $117. Cost for federal income tax purposes differs from market
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $2,527
Unrealized depreciation...................... (977)
------
Net unrealized appreciation (depreciation)... $1,550
======
</TABLE>
See notes to financial statements.
92
<PAGE> 95
One Group Mutual Funds
Michigan Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (95.3%):
Louisiana (0.7%):
$4,000 St. Tammany Public Transportation
Financing Authority, Revenue,
0.00%, 7/20/14..................... $ 1,786
--------
Michigan (93.4%):
2,500 Battle Creek Tax Increment, 5.00%,
5/1/16, Callable 5/1/08 @ 100,
MBIA............................... 2,332
2,080 Bishop International Airport
Authority, Series B, Revenue,
5.13%, 12/1/17, Callable 12/1/10 @
100, ACA........................... 1,849
4,500 Caledonia Community Schools, GO,
5.85%, 5/1/22, Prerefunded 5/1/07 @
100, MBIA.......................... 4,755
1,250 Central Montcalm Public Schools, GO,
5.90%, 5/1/19, Callable 5/1/09 @
100, MBIA.......................... 1,270
1,235 Charlevoix Public School District,
GO, 5.75%, 5/1/20, Callable 5/1/09
@ 100, FSA......................... 1,237
1,150 Charlotte Public School District, GO,
5.25%, 5/1/16, Callable 5/1/09 @
100................................ 1,118
1,075 Chelsea Economic Development Corp.,
Revenue, 5.40%, 11/15/18, Callable
11/15/08 @ 101..................... 873
2,000 Chelsea Economic Development Corp.,
Revenue, 5.40%, 11/15/27, Callable
11/15/08 @ 101..................... 1,492
1,730 Chippewa County Hospital Finance,
5.63%, 11/1/14, Callable 11/1/07 @
102................................ 1,502
2,500 Chippewa Hills School District, GO,
5.30%, 5/1/19, Callable 5/1/09 @
100, FGIC.......................... 2,386
5,000 Clarkston Community Schools, GO,
5.75%, 5/1/16, Prerefunded 5/1/05 @
101, FGIC.......................... 5,243
4,090 Clarkston Community Schools, GO,
5.00%, 5/1/15, Callable 5/1/08 @
100, AMBAC......................... 3,858
2,580 Clarkston Community Schools, GO,
5.05%, 5/1/16, Callable 5/1/08 @
100, AMBAC......................... 2,429
430 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.25%,
11/15/05, FGIC..................... 437
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$1,690 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.60%,
11/15/08, Callable 11/15/05 @ 102,
FGIC............................... $ 1,739
1,560 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.60%,
11/15/09, Callable 11/15/05 @ 102,
FGIC............................... 1,600
1,830 Dearborn Sewage Disposal System,
Revenue, Series A, 5.13%, 4/1/14,
Callable 4/1/04 @ 101, MBIA........ 1,775
3,850 Detroit Local Development Finance
Authority, Refunded Tax Increment
Senior, Series A, 5.38%, 5/1/18,
Callable 5/1/07 @ 101.50........... 3,614
1,410 Detroit Local Development Finance
Authority, Refunded Tax Increment
Senior, Series A, 5.38%, 5/1/21,
Callable 5/1/07 @ 101.50........... 1,303
2,000 Detroit Sewage Disposal System,
Revenue, Refunding, Series B,
6.00%, 7/1/10, MBIA................ 2,142
1,500 Detroit Sewage Disposal, Revenue,
Series A, 0.00%, 7/1/17, FGIC...... 561
1,800 Detroit Wayne County Stadium
Authority, Public Improvements,
5.50%, 2/1/17, Callable 2/1/07 @
102, FGIC.......................... 1,783
2,570 Detroit, Series A, GO, 5.25%, 4/1/13,
Callable 4/1/09 @ 101, FSA......... 2,545
2,000 Dexter Community School, GO, 5.80%,
5/1/19, Callable 5/1/03 @ 102...... 2,010
4,000 Dickinson County, Economic
Development Corp., PCR, 5.85%,
10/1/18, Callable 10/1/03 @ 102.... 3,732
1,625 East China School District, GO,
5.00%, 5/1/16, Callable 5/1/08 @
100, FGIC.......................... 1,516
1,000 East Lansing Building Authority, GO,
5.25%, 10/1/16, Callable 10/1/09 @
100................................ 969
4,000 Eastern Michigan University, Revenue,
6.38%, 6/1/14, Callable 6/1/02 @
101, AMBAC......................... 4,153
1,645 Ecorse Public School District, GO,
5.50%, 5/1/17, Callable 5/1/08 @
101, FGIC.......................... 1,630
4,675 Farmington Public School District,
GO, 5.10%, 5/1/16, Callable 5/1/07
@ 100.............................. 4,438
1,000 Ferndale School District, 5.50%,
5/1/11, Callable 5/1/05 @ 101,
FGIC............................... 1,013
</TABLE>
Continued
93
<PAGE> 96
One Group Mutual Funds
Michigan Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,500 Ferris State University, Revenue,
5.75%, 10/1/17, Prerefunded 4/1/07
@ 101, AMBAC....................... $ 2,644
5,000 Ferris State University, Revenue,
5.85%, 10/1/22, Prerefunded 4/1/07
@ 101, AMBAC....................... 5,316
3,000 Grand Haven, Electric Revenue, 5.25%,
7/1/08, MBIA....................... 3,052
2,000 Grand Rapids Water Supply, Revenue,
6.25%, 1/1/11, Callable 1/1/01 @
102, FGIC.......................... 2,056
1,000 Higher Education Student Loan
Authority, Revenue, AMT, Student
Loan XVII-A Conv., 5.75%, 6/1/13,
Callable 6/1/06 @ 102, AMBAC....... 1,007
1,000 Huron Valley School District, 5.88%,
5/1/16, Prerefunded 5/1/07 @ 100,
FGIC............................... 1,058
1,130 Jackson Public Schools, GO, 5.60%,
5/1/15, Callable 5/1/10 @ 100,
FGIC............................... 1,142
1,405 Jackson Public Schools, GO, 5.65%,
5/1/16, Callable 5/1/10 @ 100,
FGIC............................... 1,419
1,000 Kalamazoo Economic Development,
Revenue, 6.13%, 5/15/12, Callable
5/15/07 @ 102...................... 926
3,685 Lake Orion Community School District,
GO, 6.00%, 5/1/10, Callable 5/1/05
@ 101, AMBAC....................... 3,850
1,000 Lake Orion Community School District,
GO, 5.80%, 5/1/15, Callable 5/1/05
@ 101, AMBAC....................... 1,018
1,790 Lake Orion Community School District,
GO, 5.75%, 5/1/15, Callable 5/1/10
@ 100, FSA......................... 1,834
1,000 Lansing Building Authority, GO,
6.00%, 6/1/05, Callable 8/7/00 @
102, AMBAC......................... 1,025
2,000 Lincoln Park School District, GO,
5.00%, 5/1/20, Callable 5/1/07 @
100, FGIC.......................... 1,812
1,330 Livingston County, Building
Authority, GO, 5.80%, 7/1/08....... 1,393
2,100 Livonia Public School District,
Series I, 6.25%, 5/1/03, Callable
5/1/02 @ 102....................... 2,183
1,000 Livonia Public School District, GO,
5.50%, 5/1/14, Callable 5/1/03 @
102, FGIC.......................... 1,004
1,425 Lowell Area School District, GO,
0.00%, 5/1/16, FGIC................ 575
1,670 Madison Public Schools, GO, 5.13%,
5/1/18, Callable 5/1/09 @ 100,
FGIC............................... 1,564
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$1,175 Mason Public School District, GO,
5.40%, 5/1/09, Callable 5/1/05 @
101.50, FGIC....................... $ 1,198
1,075 Mason Public School District, GO,
5.50%, 5/1/10, Callable 5/1/05 @
101.50, FGIC....................... 1,099
2,000 Michigan State University, Revenue,
General Series A, 6.25%, 8/15/15,
Prerefunded 8/15/02 @ 101.......... 2,082
2,750 Mount Pleasant School District, GO,
5.30%, 5/1/17, Callable 5/1/08 @
100, AMBAC......................... 2,661
1,145 Municipal Bond Authority, Revenue,
Series A, 5.70%, 8/1/07, Callable
2/1/03 @ 102....................... 1,177
1,500 Municipal Bond Authority, Revenue,
Local Government Loan Program,
Series A, 6.00%, 12/1/13, Callable
12/1/04 @ 102, FGIC................ 1,568
1,350 Municipal Bond Authority, Revenue,
5.25%, 12/1/13, Callable 12/1/08 @
101................................ 1,339
2,500 Municipal Bond Authority, Revenue,
5.40%, 10/1/14, Callable 10/1/03 @
102................................ 2,499
1,000 Municipal Bond Authority, Revenue,
5.75%, 10/1/15, Callable 10/1/09 @
101................................ 1,025
1,250 Municipal Bond Authority, Revenue,
5.50%, 10/1/17, Callable 10/1/09 @
101................................ 1,238
2,500 Municipal Bond Authority, Revenue,
5.50%, 10/1/17, Callable 10/1/09 @
101................................ 2,476
1,970 Muskegon Public Schools, GO, 5.25%,
5/1/16, Callable 5/1/04 @ 101,
FGIC............................... 1,907
1,065 Northwestern Community College, GO,
5.60%, 4/1/16, Callable 10/1/09 @
100................................ 1,071
5,000 Oakland County Economic Development
Corp., Revenue, 5.00%, 11/1/17,
Callable 11/1/08 @ 101............. 4,493
2,750 Oakland County Economic Development
Corp., Revenue, 5.63%, 6/1/19,
Callable 6/1/07 @ 102, LOC: First
of America Bank.................... 2,612
3,000 Oakland County Education, Revenue,
6.38%, 11/1/14, Prerefunded 11/1/04
@ 100.............................. 3,188
</TABLE>
Continued
94
<PAGE> 97
One Group Mutual Funds
Michigan Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$4,075 Ottawa County, GO, 6.00%, 8/1/08,
Callable 8/1/02 @ 101.............. $ 4,210
1,200 Paw Paw Public School District, GO,
6.50%, 5/1/09, FGIC................ 1,308
2,000 Plymouth Canton Community School
District, GO, 5.38%, 5/1/06,
Callable 5/1/03 @ 102, AMBAC....... 2,042
1,000 Port Huron, GO, Series A, 5.25%,
10/1/19, Callable 10/1/08 @ 101,
MBIA............................... 947
7,315 Rochester Community School District,
GO, 5.25%, 5/1/15, Callable 5/1/07
@ 100, MBIA........................ 7,155
7,015 Rochester Community School District,
GO, 5.30%, 5/1/17, Callable 5/1/07
@ 100, MBIA........................ 6,796
1,750 Rockford Public Schools, 5.88%,
5/1/12, Callable 5/1/02 @ 102...... 1,790
5,000 Royal Oak Hospital Finance Authority,
Revenue, 5.60%, 11/15/11, Callable
11/15/03 @ 102..................... 5,038
2,000 Saginaw Hospital Finance Authority,
Revenue, St. Lukes Hospital, Series
C, 6.75%, 7/1/06, Callable 7/1/01 @
102, MBIA.......................... 2,081
2,085 Southgate, GO, 5.00%, 5/1/16,
Callable 5/1/09 @ 100, FGIC........ 1,945
1,765 St. Johns Public Schools, GO, 5.00%,
5/1/16, Callable 5/1/08 @ 100,
FGIC............................... 1,647
2,500 State Building Authority, Revenue,
Refunding, Series 1, 6.00%,
10/1/02, AMBAC..................... 2,573
2,640 State Building Authority, Revenue,
5.00%, 10/1/06..................... 2,659
2,455 State Environmental Protection
Program, GO, 5.40%, 11/1/19,
Callable 11/1/05 @ 101............. 2,371
1,250 State Hospital Finance Authority,
Revenue, Henry Ford First Mortgage,
Series B, 9.00%, 5/1/04, Callable
5/1/01 @ 100....................... 1,362
2,035 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series T, 5.25%, 8/15/09, Callable
8/15/07 @ 101, MBIA................ 2,046
3,000 State Hospital Finance Authority,
Revenue, Henry Ford Health System,
6.00%, 9/1/11, Callable 9/1/02 @
102, AMBAC......................... 3,088
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,590 State Hospital Finance Authority,
Revenue, 5.38%, 7/1/12, Callable
7/1/05 @ 102, FSA.................. $ 2,581
2,000 State Hospital Finance Authority,
Revenue, 5.25%, 3/1/14, Callable
3/1/04 @ 102....................... 1,815
3,795 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series U, 5.63%, 8/15/16, Callable
8/15/07 @ 101...................... 3,763
1,000 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series R, 5.38%, 8/15/16, Callable
8/15/06 @ 101, AMBAC............... 960
6,875 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series W, 5.25%, 8/15/17, Callable
8/15/07 @ 101, FSA................. 6,464
1,725 State Housing Development Authority,
Revenue, Parkway Meadows Project,
6.63%, 10/15/06, Callable 10/15/02
@ 103, FSA......................... 1,816
2,450 State Housing Development Authority,
Revenue, Series C, 6.38%, 12/1/11,
Callable 12/1/04 @ 102, FHA........ 2,559
4,750 State Housing Development Authority,
Revenue, Series A, 6.00%, 12/1/15,
Callable 6/1/06 @ 102, FHA......... 4,830
2,415 State Housing Development Authority,
Revenue, Series A, 5.88%, 10/1/17,
Callable 4/1/03 @ 102, AMBAC....... 2,401
2,415 State Housing Development Authority,
Revenue, Series A, 6.05%, 12/1/17,
Callable 6/1/06 @ 102, FHA......... 2,445
1,420 State Housing Development Authority,
Revenue, Series B, 6.95%, 12/1/20,
Callable 12/1/01 @ 102............. 1,446
2,165 State Housing Development Authority,
Revenue, Series B, AMT, 6.20%,
6/1/27, Callable 6/1/06 @ 102,
FHA................................ 2,178
2,000 State Housing Development Authority,
Revenue, Series D, 5.95%, 12/1/16,
Callable 12/1/06 @ 102............. 2,034
1,250 State Strategic Fund, Revenue, Porter
Hills Presbyterian Village, 5.30%,
7/1/18, Callable 7/1/08 @ 101...... 1,094
1,170 State Strategic Fund, Revenue,
College of Detroit Fund, 7.00%,
5/1/21, AMBAC...................... 1,358
</TABLE>
Continued
95
<PAGE> 98
One Group Mutual Funds
Michigan Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$3,200 State Trunk Line, Series A, 5.40%,
10/1/01............................ $ 3,237
2,900 State Trunk Line, Revenue, Series A,
5.75%, 10/1/12, Callable 10/1/02 @
100................................ 2,932
2,050 Tawas City, Hospital Finance
Authority, St. Joseph, Series A,
5.60%, 2/15/13, Callable 2/15/08 @
102................................ 2,093
3,000 Thorn Apple Kellogg School, GO,
5.38%, 5/1/22, Callable 5/1/05 @
101, FGIC.......................... 2,841
2,400 Traverse City Area Public School,
5.70%, 5/1/12, Prerefunded 5/1/05 @
101, MBIA.......................... 2,512
3,600 University of Michigan, Hospital
Revenue, Series A, 5.75%, 12/1/12,
Callable 12/1/02 @ 102............. 3,641
2,000 University of Michigan, Revenue,
Medical Service Plan, 6.20%,
12/1/03, Prerefunded 12/1/01 @
102................................ 2,084
6,000 University of Michigan, Revenue,
5.25%, 12/1/10, Callable 6/1/08 @
101................................ 5,978
1,015 University of Michigan, Revenue,
Student Fees, 5.25%, 4/1/15,
Callable 4/1/05 @ 102.............. 991
3,040 Wayland School District, GO, 5.10%,
5/1/12, Callable 5/1/07 @ 100,
FGIC............................... 2,994
1,275 Wayne Charter, County Airport
Revenue, Series B, 5.25% 12/1/12,
Callable 12/1/08 @ 101, MBIA....... 1,261
1,175 Wayne County, Downriver System Sewer
Disposal, Series B, 5.13%, 11/1/18,
Callable 11/1/09 @ 100, MBIA....... 1,100
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$ 215 Wayne State University, Revenue,
5.50%, 11/15/07, Callable 11/15/03
@ 101, Unrefunded Balance, AMBAC... $ 220
2,000 Wayne State University, Revenue,
5.38%, 11/15/14, Callable 11/15/09
@ 101, FGIC........................ 1,998
2,000 Wayne State University, Revenue,
5.25%, 11/15/19, Callable 11/15/09
@ 101, FGIC........................ 1,896
--------
256,395
--------
Puerto Rico (1.2%):
2,195 GO Unlimited, 6.25%, 7/1/12, MBIA.... 2,435
880 GO Unlimited, 5.75%, 7/1/17, Callable
7/1/07 @ 101.50.................... 894
--------
3,329
--------
Total Municipal Bonds 261,510
--------
WEEKLY DEMAND NOTES (0.7%):
Michigan (0.7%):
2,000 State Hospital Financial Authority,
Revenue, 4.90%, 12/1/23*........... 2,000
--------
Total Weekly Demand Notes 2,000
--------
INVESTMENT COMPANIES (3.7%):
4,439 One Group Michigan Municipal Money
Market Fund, Class I............... 4,439
5,848 Provident Municipal Cash Money Market
Fund............................... 5,848
--------
Total Investment Companies 10,287
--------
Total (Cost $271,193) (a) $273,797
========
</TABLE>
------------
Percentages indicated are based on net assets of $274,645.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 5,765
Unrealized depreciation...................... (3,161)
-------
Net unrealized appreciation (depreciation)... $ 2,604
=======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the
rate in effect at June 30, 2000.
See notes to financial statements.
96
<PAGE> 99
One Group Mutual Funds
Ohio Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (98.9%):
Colorado (1.2%):
$2,810 El Paso County, Single Family Mortgage
Revenue, Series A, 0.00%, 5/1/15,
ETM.................................. $ 1,205
2,350 Housing Finance Authority, Single
Family Mortgage Revenue, 0.00%,
9/1/14, ETM.......................... 1,055
--------
2,260
--------
Kansas (0.5%):
1,000 Kansas City, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/14, ETM......................... 444
1,390 Saline County, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/15, ETM......................... 578
--------
1,022
--------
Massachusetts (0.5%):
640 State GO, Series C, 6.75%, 8/1/09,
Prerefunded 8/1/01 @ 102, AMBAC...... 669
360 State GO, Series C, 6.75%, 8/1/09,
Callable 8/1/01, @ 102, AMBAC........ 375
--------
1,044
--------
Mississippi (0.5%):
3,000 Home Corp., Single Family Mortgage
Revenue, 0.00%, 9/15/16, Callable
3/15/04 @ 41.70, ETM................. 1,027
--------
Missouri (0.5%):
1,000 State Health, Series AA, 6.40%, 6/1/10,
MBIA................................. 1,095
--------
Ohio (94.7%):
1,000 Adams County, School District, GO,
5.45%, 12/1/08, Callable 12/1/05 @
102,
MBIA................................. 1,031
1,045 Akron Sewer Systems, Sewer Revenue,
5.30%, 12/1/05, MBIA................. 1,072
1,000 Akron Sewer Systems, Sewer Revenue,
5.65%, 12/1/08, Callable 12/1/06 @
101, MBIA............................ 1,043
1,070 Akron Sewer Systems, Sewer Revenue,
5.50%, 12/1/12, FGIC................. 1,104
1,030 Akron Sewer Systems, Sewer Revenue,
5.38%, 12/1/13, FGIC................. 1,045
1,000 Allen County, Justice Center, GO,
7.00%, 12/1/15, Prerefunded 12/1/01 @
101, AMBAC........................... 1,044
1,000 Avon Lake, City School District, GO,
5.50%, 12/1/19, Callable 12/1/09 @
102.................................. 986
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,280 Belmont County, Health Systems Revenue,
Regional Hospital, 5.25%, 1/1/08,
ACA.................................. $ 1,240
3,000 Bexley School District, GO, 6.50%,
12/1/16, Prerefunded 12/1/01 @ 102... 3,139
1,000 Big Walnut School District, GO, 7.30%,
6/1/15, Prerefunded 6/1/01 @ 102,
AMBAC................................ 1,046
725 Bowling Green State University, 5.65%,
6/1/11, Callable 6/1/06 @ 101,
AMBAC................................ 747
1,000 Butler County, Hospital Facilities
Revenue, 6.75%, 11/15/10, Callable
11/15/01 @ 102, FGIC................. 1,044
1,475 Butler County, Hospital Facilities
Revenue, 4.75%, 11/15/18, Callable
11/15/08 @ 101....................... 1,178
710 Capital Corporation for Housing,
Mortgage Revenue, 5.60%, 1/1/07,
Callable 7/1/03 @ 102, MBIA.......... 717
1,000 Capital Corporation for Housing,
Mortgage Revenue, 5.90%, 1/1/14,
Callable 7/1/03 @ 100, MBIA.......... 1,005
1,000 Capital Corporation for Housing,
Mortgage Revenue, 5.90%, 2/1/14,
Callable 2/1/03 @ 100................ 1,004
1,000 Cleveland Airport Systems Revenue,
Series A, AMT, 5.13%, 1/1/13,
Callable 1/1/08 @ 101, FSA........... 960
4,500 Cleveland Public Power System, Power
Revenue, 6.40%, 11/15/06, Prerefunded
11/15/04 @ 102, MBIA................. 4,863
2,000 Cleveland Public Power System, Power
Revenue, 0.00%, 11/15/09, MBIA....... 1,227
3,000 Cleveland Public Power System, Power
Revenue, 0.00%, 11/15/11, MBIA....... 1,636
5,250 Cleveland Stadium Project, Certificates
of Participation, 0.00%, 11/15/11,
AMBAC................................ 2,848
1,850 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.25%, 1/1/06, Callable
1/1/02 @ 102, AMBAC.................. 1,923
315 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.50%, 1/1/11, Callable
1/1/02 @ 102, AMBAC.................. 329
3,485 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.50%, 1/1/11,
Prerefunded 1/1/02 @ 102, AMBAC...... 3,643
2,000 Cleveland Waterworks, Water Revenue,
Series G, 5.50%, 1/1/13, MBIA........ 2,050
</TABLE>
Continued
97
<PAGE> 100
One Group Mutual Funds
Ohio Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 500 Cleveland, GO, 7.50%, 8/1/07,
Prerefunded 2/1/03 @ 100, AMBAC...... $ 533
1,000 Cleveland, GO, 5.75%, 8/1/11, MBIA..... 1,056
1,000 Cleveland, GO, 6.38%, 7/1/12,
Prerefunded 7/1/02 @ 102, MBIA....... 1,051
2,185 Cleveland-Cuyahoga County, Port
Authority Revenue, Capital
Improvements Project, Series A,
5.38%, 5/15/19, Callable 5/15/09 @
102, LOC: FifthThird Bank............ 1,830
1,225 Columbus Municipal Airport No. 30-E-U,
GO, 6.20%, 4/15/04, Callable 4/15/01
@ 100................................ 1,242
1,000 Columbus Sewer Improvements, GO, 6.75%,
9/15/06, Callable 9/15/01 @ 100,
ETM.................................. 1,026
2,285 Columbus Waterworks Enlargement No. 44,
GO, 6.00%, 5/1/11, Prerefunded 5/1/03
@ 102................................ 2,402
1,000 Columbus Waterworks Enlargement No. 44,
GO, 6.00%, 5/1/12, Prerefunded 5/1/03
@ 102................................ 1,051
1,000 Columbus, GO, 6.40%, 1/1/07, Callable
1/1/02 @ 102......................... 1,042
1,620 Columbus, GO, 5.00%, 7/15/15, Callable
7/15/08 @ 101........................ 1,548
1,000 Columbus, Police-Fireman Disability,
5.00%, 7/15/18, Callable 7/15/08 @
101.................................. 931
1,000 Cuyahoga County, Economic Development
Revenue, 5.30%, 12/1/29, Callable
12/1/09 @ 100, LOC: KeyBank N.A...... 1,004
2,000 Cuyahoga County, Health Care
Facilities, Benjamin Rose Institute,
5.50%, 12/1/17, Callable 12/1/08 @
101.................................. 1,602
1,665 Cuyahoga County, Hospital Revenue,
5.63%, 1/15/12, Callable 1/15/06 @
102.................................. 1,697
1,000 Cuyahoga County, Hospital Revenue,
Metrohealth System, Series A, 5.13%,
2/15/13, Callable 2/15/07 @ 102,
MBIA................................. 970
1,000 Cuyahoga County, Hospital Revenue,
Series A, 5.50%, 1/15/10, Callable
1/15/06 @ 102, MBIA.................. 1,019
1,000 Cuyahoga County, Hospital Revenue, W.O.
Walker Center, 5.25%, 1/1/13,
Callable 7/1/08 @ 101, AMBAC......... 992
1,000 Cuyahoga County, Jail Facilities, GO,
7.00%, 10/1/13, Prerefunded 10/1/01 @
102.................................. 1,050
1,265 Defiance, Waterworks System
Improvements, GO, 5.65%, 12/1/18,
Callable 12/1/08 @ 102, AMBAC........ 1,271
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Delaware County, Library District, GO,
7.25%, 11/1/10, Prerefunded 11/1/00 @
102.................................. $ 1,030
1,000 Delaware County, Sewer, GO, 5.60%,
12/1/10, Callable 12/1/05 @ 101...... 1,030
1,000 Fairfield County, Hospital Improvement
Revenue, Lancaster-Fairfield
Community Hospital, 7.10%, 6/15/21,
Prerefunded 6/15/01 @ 102, MBIA...... 1,045
1,500 Franklin County, Health Care Facilities
Revenue, 5.50%, 11/1/16, Callable
11/1/02 @ 102........................ 1,289
1,000 Franklin County, Health Care Facilities
Revenue, 5.50%, 7/1/17, Callable
7/1/08 @ 101......................... 832
1,290 Franklin County, Hospital Revenue,
Children's Hospital, 5.65%, 11/1/08,
Callable 11/1/06 @ 101............... 1,318
1,065 Franklin County, Hospital Revenue,
Children's Hospital, 5.75%, 11/1/09,
Callable 11/1/06 @ 101............... 1,091
800 Franklin County, Hospital Revenue,
Children's Hospital, 5.80%, 11/1/10,
Callable 11/1/06 @ 101............... 819
2,000 Franklin County, Hospital Revenue,
Children's Hospital Project, Series
A, 6.50%, 5/1/07, Callable 11/1/02 @
102.................................. 2,100
1,000 Franklin County, Hospital Revenue,
Children's Hospital Project, Series
A, 6.60%, 11/1/11, Callable 11/1/01 @
102.................................. 1,046
1,250 Franklin County, Mortgage Revenue,
5.50%, 10/1/12, Callable 10/1/09 @
101.................................. 1,260
445 Franklin County, Mortgage Revenue, AMT,
4.80%, 12/20/13, GNMA................ 408
500 Franklin County, Multi-Family Housing
Revenue, Kimberly Apartments, Series
A, 5.00%, 11/1/18, Callable 11/1/09 @
102.................................. 438
2,000 Franklin County, Revenue, Online
Computer, Series A, 5.00%, 10/1/16,
Callable 10/1/08 @ 101............... 1,852
1,070 Gahanna-Jefferson Public Schools, GO,
4.85%, 12/1/15, Callable 6/1/09 @
100.................................. 987
1,000 Greater Cleveland Regional
Transportation Authority, GO, 5.60%,
12/1/11, Callable 12/1/06 @ 101,
FGIC................................. 1,031
1,600 Greene County, GO, 6.25%, 12/1/09,
Callable 12/1/02 @ 102, AMBAC........ 1,687
</TABLE>
Continued
98
<PAGE> 101
One Group Mutual Funds
Ohio Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Greene County, Water System Revenue,
6.85%, 12/1/11, Callable 12/1/01 @
102, AMBAC........................... $ 1,051
1,000 Hamilton County Waterworks, Water
Utility Improvement Revenue, Series
A, 6.40%, 10/15/07, Callable 10/15/01
@ 102, MBIA.......................... 1,041
1,500 Hamilton County, Building Improvement,
Museum Center, GO, 6.50%, 12/1/09,
Callable 12/1/01 @ 102............... 1,567
1,500 Hamilton County, Economic Development,
Housing Revenue, AMT, 5.50%, 1/1/12,
Callable 1/1/07 @ 102, FNMA.......... 1,472
1,500 Hamilton County, Electric Systems
Revenue, 6.13%, 10/15/08, Callable
10/15/02 @ 102, FGIC................. 1,569
1,000 Hamilton County, Health Care Facilities
Revenue, 5.13%, 10/1/18, Callable
10/1/08 @ 101........................ 860
1,500 Hamilton County, Hospital Facilities
Revenue, Bethesda Hospital, Series A,
6.25%, 1/1/12, Callable 1/1/03 @
102.................................. 1,551
380 Hamilton County, Sewer System Revenue,
6.30%, 12/1/01, Prerefunded 6/1/01 @
102.................................. 394
2,685 Housing Finance Agency, Single Family
Mortgage Revenue, 0.00%, 1/15/15,
Prerefunded 7/15/13 @ 86.08.......... 1,120
1,000 Huron County, Correctional Facility,
Issue I, GO, 5.70%, 12/1/11, Callable
12/1/07 @ 102, MBIA.................. 1,044
1,000 Kent State University, General Receipts
Revenue, 6.45%, 5/1/12, Prerefunded
5/1/02 @ 102, AMBAC.................. 1,050
500 Kent State University, General Receipts
Revenue, 5.00%, 5/1/18, Callable
5/1/08 @ 101, AMBAC.................. 461
3,000 Lakewood Sanitation Sewer System,
Special Obligation, 6.40%, 12/1/11,
Prerefunded 12/1/01 @ 102............ 3,135
2,535 Lakota School District, GO, 5.10%,
12/1/14, Callable 12/1/08 @ 101,
FGIC................................. 2,456
1,000 Logan County School District, GO,
7.10%, 12/1/12, Prerefunded 12/1/01 @
101, AMBAC........................... 1,045
1,000 Lorain County, Hospital Revenue, 5.63%,
9/1/14, Callable 9/1/07 @ 102,
MBIA................................. 1,016
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Lorain County, Hospital Revenue,
Catholic Healthcare Partners, 6.00%,
9/1/05, MBIA......................... $ 1,053
1,000 Lorain County, Hospital Revenue,
Catholic Healthcare Partners, 5.63%,
9/1/12, Callable 9/1/07 @ 102,
MBIA................................. 1,027
1,000 Lucas County Hospital Group, Revenue,
5.63%, 11/15/13, Callable 11/15/09 @
101, AMBAC........................... 1,018
1,000 Lucas County Hospital Group, Revenue,
5.63%, 11/15/15, Callable 11/15/09 @
101, AMBAC........................... 1,007
2,430 Lucas County, Multi-Family Revenue,
5.20%, 11/1/18, Callable 11/1/08 @
102.................................. 2,188
2,700 Mahoning Valley Sanitation District,
Revenue, 5.13%, 12/15/16, Callable
12/15/08 @ 101, FSA.................. 2,584
1,000 Marysville School District, GO, 7.20%,
12/1/10, Prerefunded 12/1/00 @ 102,
AMBAC................................ 1,032
2,500 Middleburg Heights Hospital, 5.70%,
8/15/10, Callable 8/15/08 @ 102,
FSA.................................. 2,604
1,000 Montgomery County Hospital, Grandview
Hospital, 5.35%, 12/1/08, Callable
12/1/07 @ 102, ETM................... 1,019
1,575 Montgomery County Hospital, Grandview
Hospital, 5.65%, 12/1/12, Prerefunded
12/1/09 @ 100........................ 1,636
2,000 Montgomery County, Sisters of Charity,
Series A, 6.50%, 5/15/08, Callable
5/15/01 @ 102, MBIA.................. 2,072
1,495 Newark, GO, 0.00%, 12/1/11, FGIC....... 814
1,000 Northeast Ohio, Regional Sewer District
Wastewater, Sewer Revenue, 6.50%,
11/15/08, Prerefunded 11/15/01 @ 101,
AMBAC................................ 1,036
1,000 Ohio State University, General
Receipts, 5.50%, 12/1/15, Callable
12/1/09 @ 101........................ 1,005
500 Olentangy Local School District, GO,
7.75%, 12/1/11, BIG.................. 614
565 Olmstead Falls School District, GO,
6.85%, 12/15/11, Prerefunded 12/15/04
@ 102, FGIC.......................... 621
1,000 Ottawa County, GO, 7.00%, 9/1/11,
Prerefunded 9/1/01 @ 102, AMBAC...... 1,049
1,000 Plain Local School District, GO, 5.80%,
12/01/15, Callable 12/01/10 @ 100,
FGIC................................. 1,033
</TABLE>
Continued
99
<PAGE> 102
One Group Mutual Funds
Ohio Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$2,600 Portage County, Robinson Memorial
Hospital Project, 5.63%, 11/15/07,
Callable 11/15/04 @ 102, MBIA........ $ 2,682
1,160 Reading, Revenue, St. Mary's
Educational Institute, Asset
Guaranty, 5.65%, 2/1/12, Callable
2/1/10 @ 100......................... 1,165
1,000 Reading, Revenue, St. Mary's
Educational Institute, Asset
Guaranty, 5.70%, 2/1/13, Callable
2/1/10 @ 100......................... 1,001
1,000 Sandusky County, Hospital Facility
Revenue, Memorial Hospital, 5.10%,
1/1/09, Callable 1/1/08 @ 102........ 917
1,000 Sandusky School District, GO, 7.30%,
12/1/10, Callable 12/1/00 @ 102...... 1,031
1,000 Shaker Heights City Schools, GO, 7.10%,
12/15/10............................. 1,119
1,260 Southwest Licking Local School
District, GO, 5.75%, 12/1/14, FGIC... 1,319
1,710 Springfield County, School District,
GO, 0.00%, 12/1/12, AMBAC............ 874
1,000 Springfield, GO, 6.88%, 9/1/06,
Callable 9/1/01 @ 102, AMBAC......... 1,047
2,480 State Building Authority, 5.25%
10/1/17, Callable 10/1/09 @ 101...... 2,394
2,000 State Building Authority, Adult
Correctional Building, Series A,
6.13%, 10/1/09, Callable 10/1/03 @
102.................................. 2,106
1,000 State Building Authority, Adult
Correctional Building, Series A,
5.50%, 4/1/13, Callable 4/1/07 @ 101,
AMBAC................................ 1,014
1,000 State Building Authority, Adult
Correctional Building, Series A,
5.00%, 4/1/15, Callable 4/1/08 @
101.................................. 947
1,000 State Building Authority, Highway
Safety Building, 5.38%, 10/1/09,
Callable 4/1/07 @ 101, AMBAC......... 1,027
1,000 State Building Authority, State
Correctional Facilities, Series A,
6.50%, 10/1/01....................... 1,025
1,000 State Building Authority, State
Facilities, Administration Building
Funds, Series A, 5.75%, 10/1/06,
Callable 10/1/04 @ 102, MBIA......... 1,049
1,165 State Building Authority, State
Facilities, Transportation Building
Fund, Series A, 6.50%, 9/1/09,
Callable 9/1/04 @ 102, AMBAC......... 1,253
1,300 State Department Administrative
Services, 5.00%, 6/15/17, Callable
12/15/07 @ 102....................... 1,208
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$2,500 State Educational Loan, Series A-1,
Revenue, AMT, 5.55%, 12/1/11,
Callable 6/1/07 @ 102, AMBAC......... $ 2,513
1,750 State Elementary & Secondary Education,
5.63%, 12/1/06....................... 1,827
2,510 State Fresh Water Development, Water
Revenue, 5.80%, 6/1/11, Callable
6/1/05 @ 102, AMBAC.................. 2,659
200 State Higher Educational Facilities,
Case Western Reserve University,
7.25%, 12/1/12, Prerefunded 12/1/00 @
102, FGIC............................ 206
1,000 State Higher Educational Facilities,
Denison University, 5.40%, 11/1/11,
Callable 11/1/06 @ 101............... 1,015
1,000 State Higher Educational Facilities,
Denison University, 5.25%, 11/1/16,
Callable 11/1/06 @ 101............... 971
3,750 State Higher Educational Facilities,
Revenue, 0.00%, 12/1/13, Callable
12/1/06 @ 101, AMBAC................. 2,929
800 State Higher Educational Facilities,
University of Dayton, 7.25%, 12/1/12,
Prerefunded 12/1/00 @ 102, FGIC...... 825
1,000 State Higher Educational Loan, Revenue,
Series A-1, AMT, 5.40%, 12/1/09,
Callable 6/1/07 @ 102, AMBAC......... 1,003
1,135 State Housing Finance Agency, Mortgage
Revenue, Series A-1, 6.20%, 9/1/14,
Callable 3/1/05 @ 102, GNMA.......... 1,169
335 State Housing Finance Agency, Single
Family Mortgage Revenue, Series F,
7.50%, 9/1/10, Callable 9/1/00 @ 102,
GNMA................................. 342
5,155 State Turnpike Commission, Turnpike
Revenue, Series A, 5.50%, 2/15/14.... 5,262
2,250 State Water Authority, PCR, 5.50%,
6/1/13, Callable 12/1/07 @ 101,
MBIA................................. 2,285
1,000 State Water Development Authority,
Pollution Control Facilities, 5.50%,
12/1/09, Callable 6/1/05 @ 101,
MBIA................................. 1,029
1,500 State Water Development Authority,
Water Development Revenue, 7.00%,
12/1/09, Callable 6/1/01 @ 102, ETM,
AMBAC................................ 1,657
1,000 Strongsville, GO, 6.70%, 12/1/11,
Callable 12/1/06 @ 102............... 1,101
800 Toledo Sewer Revenue, 6.20%, 11/15/02,
AMBAC................................ 829
</TABLE>
Continued
100
<PAGE> 103
One Group Mutual Funds
Ohio Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Toledo Sewer System, Sewer Revenue,
5.25%, 11/15/13, Callable 11/15/09
@ 102................................ $ 996
1,000 Toledo, GO, 5.63%, 12/1/11, Callable
12/1/06 @ 102, AMBAC................. 1,035
2,145 Toledo, Lucas County Port Authority,
Development Revenue, 5.10%, 5/15/12,
Callable 5/15/09 @ 102............... 1,888
1,000 Toledo, Lucas County Port Authority,
Revenue, AMT, 6.13%, 11/15/09........ 979
1,000 University of Cincinnati, Certificates
of Participation, University &
College Improvements, 6.75%, 12/1/09,
Callable 12/1/01 @ 102, MBIA......... 1,050
1,000 University of Cincinnati, General
Receipts, 5.75%, 6/1/13, Callable
6/1/06 @ 101......................... 1,026
1,000 University of Cincinnati, General
Receipts, University & College
Improvements, 7.00%, 6/1/11, Callable
6/1/01 @ 102......................... 1,040
1,000 University of Cincinnati, Revenue,
Series R2, 6.25%, 6/1/09, Callable
12/1/02 @ 102........................ 1,052
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- --------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Westerville, Minerva Park & Blendon
Joint Township, Saint Ann's Hospital,
Series B, 6.80%, 9/15/06, Callable
9/15/01 @ 102, AMBAC, ETM............ $ 1,047
2,750 Westerville, Minerva Park & Blendon
Joint Township, Saint Ann's Hospital,
Series B, 7.00%, 9/15/12, Callable
9/15/01 @ 102, AMBAC, ETM............ 2,887
--------
188,548
--------
Texas (0.5%):
2,500 Southeast Texas Housing Financial
Corp., 0.00%, 9/1/17, ETM, MBIA...... 917
--------
Washington (0.5%):
1,000 State, GO, Series A & AT-6, 6.25%,
2/1/11............................... 1,084
--------
Total Municipal Bonds 196,997
--------
INVESTMENT COMPANIES (0.6%):
295 Fidelity Ohio Tax Free Money Market
Fund................................. 295
2 One Group Ohio Municipal Money Market
Fund, Class I........................ 2
898 Provident Municipal Cash Fund.......... 898
--------
Total Investment Companies 1,195
--------
Total (Cost $195,661) (a) $198,192
========
</TABLE>
------------
Percentages indicated are based on net assets of $199,274.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $38. Cost for federal income tax purposes differs from market
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 5,033
Unrealized depreciation...................... (2,540)
-------
Net unrealized appreciation (depreciation)... $ 2,493
=======
</TABLE>
See notes to financial statements.
101
<PAGE> 104
One Group Mutual Funds
West Virginia Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (98.4%):
Kansas (1.4%):
$3,225 Labette County, Single Family
Mortgage, Revenue, 0.00%,
12/1/14............................ $ 1,432
--------
Maryland (0.8%):
2,690 Prince Georges County, Housing
Authority Revenue, Foxglenn Apts.,
Series A, AMT, 0.00%, 5/20/22...... 779
--------
Ohio (0.5%):
500 Columbus, GO, 8.13%, 5/1/04.......... 559
--------
Puerto Rico (3.4%):
2,400 Commonwealth, GO, 5.75%, 7/1/17...... 2,438
1,000 Industrial Tourist, Educational,
Medical and Environmental Control
Facilities, Auxilio Mutuo Hospital
Obligation Group, 5.80%, 7/1/06,
Callable 1/1/05 @ 102, MBIA........ 1,049
--------
3,487
--------
Virginia (0.2%):
200 State Public School Authority,
Revenue, Series A, 6.30%, 8/1/01... 204
--------
West Virginia (92.1%):
1,000 Berkeley County, Building Community,
Hospital Revenue, City Hospital
Project, 6.50%, 11/1/09, Callable
11/1/02 @ 102...................... 1,007
1,000 Berkeley County, Education Board, GO,
5.50%, 4/1/01...................... 1,008
800 Berkeley County, Education Board, GO,
5.55%, 4/1/02...................... 811
900 Berkeley County, Education Board, GO,
5.60%, 4/1/03...................... 918
500 Berkeley County, Education Board, GO,
5.00%, 6/1/08, Callable 6/1/05 @
100, FGIC.......................... 500
1,525 Brooke Pleasants Tyler Wetzel
Counties, Single Family Mortgage,
Revenue, 7.40%, 8/15/10, ETM....... 1,794
1,670 Cabell County, Education Board, GO,
6.60%, 5/1/04, MBIA, ETM........... 1,776
1,500 Cabell County, Education Board, GO,
6.00%, 5/1/06, MBIA, ETM........... 1,587
70 Charles Town Residential Mortgage,
Revenue, Series A, 5.40%, 9/1/02... 71
70 Charles Town Residential Mortgage,
Revenue, Series A, 5.56%, 3/1/03... 71
55 Charles Town Residential Mortgage,
Revenue, Series A, 5.70%, 9/1/04,
Callable 3/1/03 @ 102.............. 56
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$ 970 Charleston Building Community, Lease
Revenue, 5.30%, 6/1/12, Callable
6/1/09 @ 102....................... $ 929
1,555 Charleston Building Community,
Parking Facility Revenue, Capital
Appreciation, 0.00%, 12/1/17....... 492
1,570 Charleston Building Community,
Parking Facility Revenue, Capital
Appreciation, 0.00%, 12/1/18....... 461
1,570 Charleston Building Community,
Parking Facility Revenue, Capital
Appreciation, 0.00%, 12/1/19....... 430
1,010 Charleston Parking Revenue, Series B,
6.75%, 6/1/08, Callable 12/1/04 @
102................................ 1,089
1,120 Charleston Urban Renewal Authority
Lease, Diamond Project, Series A,
5.75%, 12/15/18, Callable
12/15/09 @ 102, FSA................ 1,134
1,020 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty,
0.00%, 9/1/08, FSA................. 666
1,000 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty,
0.00%, 9/1/11, FSA................. 548
1,000 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty,
0.00%, 9/1/12, FSA................. 515
1,000 Economic Development, Authority Lease
Revenue, Capitol Parking Garage
Project, 5.63%, 6/1/16, AMBAC...... 1,007
790 Fairmont Waterworks Revenue, 5.30%,
7/1/09, Callable 7/1/07 @ 102,
MBIA............................... 806
925 Fairmont Waterworks Revenue, 5.50%,
7/1/12, Callable 7/1/07 @ 102,
MBIA............................... 944
2,500 Harrison County, Board of Education,
GO, 6.40%, 5/1/07, FGIC............ 2,717
2,000 Harrison County, Community Special
Obligation, Revenue, Series A,
6.25%, 5/15/10, ETM................ 2,179
1,500 Harrison County, Education Board, GO,
6.30%, 5/1/05, FGIC................ 1,596
735 Jackson County, Residential Mortgage,
Revenue, 7.38%, 6/1/10, FGIC,
ETM................................ 858
1,000 Jefferson County Board of Education,
Public School, GO, 5.25%, 7/1/09... 1,004
</TABLE>
Continued
102
<PAGE> 105
One Group Mutual Funds
West Virginia Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$3,260 Kanawha Mercer Nicholas Counties,
Single Family Mortgage, Revenue,
0.00%, 2/1/15, Prerefunded
2/1/14 @ 89.85..................... $ 1,340
2,550 Kanawha-Putnam County, Single Family
Mortgage, Revenue, Series A, 0.00%,
12/1/16, AMBAC, ETM................ 988
1,607 Keyser Housing Corp. Mortgage,
Revenue, 7.25%, 4/1/21, Callable
11/1/00 @ 100, FHA................. 1,610
1,065 Marion County, Single Family
Mortgage, Revenue, 7.38%, 8/1/11,
FGIC, ETM.......................... 1,253
500 Marshall County, Special Obligation,
6.50%, 5/15/10, ETM................ 544
1,000 Monongalia County, Board of
Education, GO, 7.00%, 4/1/03,
MBIA............................... 1,058
440 Monongalia County, Board of
Education, GO, 7.00%, 4/1/04,
MBIA............................... 473
300 Monongalia County, Board of
Education, GO, 7.00%, 4/1/05,
MBIA............................... 328
1,000 Monongalia County, Building
Community, Healthcare Revenue,
5.75%, 11/15/14, Callable
11/15/02 @ 102..................... 873
1,295 Parkersburg Waterworks & Sewer
System, Revenue, 5.50%, 3/1/10,
Callable 9/1/06 @ 102, FSA......... 1,330
1,335 Parkersburg Waterworks & Sewer
System, Revenue, 5.50%, 9/1/10,
Callable 9/1/06 @ 102, FSA......... 1,372
900 Parkersburg Waterworks & Sewer
System, Revenue, 5.70%, 9/1/13,
Callable 9/1/06 @ 102, FSA......... 923
1,000 Pleasants County, PCR, Potomac Power,
6.15%, 5/1/15, Callable 5/1/05 @
102, AMBAC......................... 1,043
1,000 Pleasants County, PCR, Potomac Power,
6.15%, 5/1/15, Callable 5/1/05 @
102, MBIA.......................... 1,043
1,750 Pleasants County, PCR, West Penn
Power, 6.15%, 5/1/15, Callable
5/1/05 @ 102, AMBAC................ 1,826
1,860 Princeton, Hospital Revenue,
Community Hospital Association,
Inc. Project, 5.75%, 5/1/11,
Callable 5/1/09 @ 102.............. 1,760
1,015 Putnam County, PCR, FMC Corp., 5.63%,
10/1/13, Callable 10/1/07 @ 102.... 918
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$2,000 Raleigh Fayette & Nicholas Counties,
Special Obligation, 6.25%, 8/1/11,
ETM................................ $ 2,186
800 School Building Authority, Revenue,
Capital Improvement, Series B,
6.80%, 7/1/00, MBIA................ 800
1,750 School Building Authority, Revenue,
Capital Improvement, 6.25%, 7/1/01,
MBIA............................... 1,782
1,000 School Building Authority, Revenue,
Capital Improvement, Series B,
6.90%, 7/1/02, Callable 7/1/00 @
102,
MBIA............................... 1,020
1,000 School Building Authority, Revenue,
Capital Improvement, 5.63%, 7/1/03,
MBIA............................... 1,025
200 School Building Authority, Revenue,
Capital Improvement, Series B,
6.75%, 7/1/06, MBIA................ 219
2,825 School Building Authority, Revenue,
Capital Improvement, 5.50%, 7/1/11,
Callable 7/1/07 @ 102, AMBAC....... 2,893
1,000 School Building Authority, Revenue,
Capital Improvement, Series B,
6.00%, 7/1/12, Callable 7/1/02 @
100,
MBIA............................... 1,022
3,500 School Building Authority, Revenue,
Capital Improvement, Series B,
5.40%, 7/1/17, Callable 7/1/07 @
102, FSA........................... 3,432
1,000 State Building, Lottery Commission
Revenue, Series A, 5.25%, 7/1/08,
Callable 7/1/07 @ 102, MBIA........ 1,017
1,000 State Building, Lottery Commission
Revenue, Series A, 5.25%, 7/1/09,
Callable 7/1/07 @ 102, MBIA........ 1,015
1,000 State Capital Appreciation
Infrastructure -- A, GO, 0.00%,
11/1/13, FGIC...................... 478
1,000 State Capital Appreciation
Infrastructure -- A, GO, 0.00%,
11/1/14, FGIC...................... 447
600 State GO, Series A, 5.40%, 2/1/01.... 603
250 State GO, 5.25%, 3/1/01.............. 250
200 State GO, 5.70%, 6/1/01.............. 201
1,200 State GO, 6.10%, 6/1/03, Callable
6/1/01 @ 100....................... 1,207
1,000 State GO, 5.25%, 6/1/08, FGIC........ 1,017
1,000 State GO, Series B, AMT, 5.80%,
11/1/11, Callable 11/1/06 @ 102,
FGIC............................... 1,045
</TABLE>
Continued
103
<PAGE> 106
One Group Mutual Funds
West Virginia Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,000 State GO, Series B, AMT, 5.85%,
11/1/12, Callable 11/1/06 @ 102,
FGIC............................... $ 1,045
1,000 State GO, 5.75%, 6/1/13, Callable
6/1/09 @ 101....................... 1,036
1,000 State GO, 5.75%, 6/1/15, Callable
6/1/09 @ 101....................... 1,026
1,000 State GO, Series B, AMT, 5.10%,
11/1/15, Callable 11/1/08 @ 102,
FGIC............................... 949
625 State Hospital Finance Authority,
Hospital Revenue, 5.50%, 1/1/02,
MBIA............................... 632
500 State Hospital Finance Authority,
Hospital Revenue, 5.70%, 1/1/04,
Callable 1/1/02 @ 102, MBIA........ 513
2,350 State Hospital Finance Authority,
Hospital Revenue, 5.10%, 6/1/06,
Callable 6/1/03 @ 102, MBIA........ 2,360
1,000 State Hospital Finance Authority,
Hospital Revenue, 5.13%, 9/1/06,
Callable 9/1/05 @ 102, MBIA........ 1,007
1,000 State Hospital Finance Authority,
Hospital Revenue, 5.75%, 9/1/13,
Callable 9/1/05 @ 102, MBIA........ 1,026
190 State Housing Development, 6.30%,
11/1/03, Callable 5/1/02 @ 103,
FHA................................ 196
195 State Housing Development, 6.40%,
5/1/04, Callable 5/1/02 @ 103,
FHA................................ 203
205 State Housing Development, 6.40%,
11/1/04, Callable 5/1/02 @ 103,
FHA................................ 214
245 State Housing Development, 6.75%,
11/1/10, Callable 5/1/02 @ 103,
FHA................................ 256
315 State Housing Development, 6.75%,
5/1/11, Callable 5/1/02 @ 103,
FHA................................ 330
320 State Housing Development, 6.75%,
11/1/11, Callable 5/1/02 @ 103,
FHA................................ 335
655 State Housing Development, AMT,
5.65%, 11/1/15, Callable 11/1/07 @
102................................ 645
1,500 State Roads, GO, 5.20%, 6/1/14....... 1,466
1,500 State University, Revenue, 5.75%,
4/1/03, AMBAC...................... 1,540
1,500 State University, Revenue, 5.75%,
4/1/04, Callable 4/1/03 @ 102,
AMBAC.............................. 1,550
1,000 State University, Revenue, 6.00%,
4/1/07, Callable 4/1/03 @ 102,
AMBAC.............................. 1,045
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,000 State University, Revenue, 6.00%,
4/1/12, Callable 4/1/03 @ 102,
AMBAC.............................. $ 1,040
100 State Water Development Authority,
Revenue, Loan Program, Series A,
7.40%, 11/1/00..................... 101
130 State Water Development Authority,
Revenue, Loan Program, Series A,
6.90%, 11/1/01..................... 134
160 State Water Development Authority,
Revenue, Loan Program, Series A,
7.10%, 11/1/04, Callable
11/1/01 @ 102...................... 167
2,000 State Water Development Authority,
Revenue, Loan Program, Series A,
7.00%, 11/1/11, Callable
11/1/01 @ 102, FSA................. 2,096
800 University Revenue, Series A, 5.30%,
5/1/12, Callable 11/1/07 @ 101,
AMBAC.............................. 804
1,125 University Revenue, Series A, 5.25%,
4/1/13, Callable 4/1/08 @ 102,
AMBAC.............................. 1,116
1,000 University Revenue, 0.00%, 4/1/16.... 404
1,000 University Revenue, 0.00%, 4/1/17.... 378
1,000 University Revenue, 0.00%, 4/1/18.... 354
750 University Revenues, State University
System, Marshall University
Library, 5.60%, 4/1/11, Callable
4/1/06 @ 101, AMBAC................ 768
1,000 Wheeling Waterworks & Sewer System,
Revenue, 5.40%, 6/1/11, Callable
6/1/07 @ 100, FGIC................. 1,013
1,200 Wheeling Waterworks & Sewer System,
Revenue, Series C, 6.60%, 6/1/12,
Prerefunded 6/1/02 @ 100, FGIC..... 1,243
--------
94,307
--------
Total Municipal Bonds 100,768
--------
INVESTMENT COMPANIES (1.8%):
13 One Group Municipal Money Market
Fund, Class I...................... 13
1,808 Provident Municipal Cash Fund........ 1,808
--------
Total Investment Companies 1,821
--------
Total (Cost $100,445) (a) $102,589
========
</TABLE>
Continued
104
<PAGE> 107
One Group Mutual Funds
West Virginia Municipal Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
------------
Percentages indicated are based on net assets of $102,424.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by net unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $2,767
Unrealized depreciation...................... (623)
------
Net unrealized appreciation (depreciation)... $2,144
======
</TABLE>
See notes to financial statements.
105
<PAGE> 108
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
Abbreviations
<TABLE>
<S> <C>
ACA Insured by American Capital Access
AMBAC Insured by AMBAC Indemnity Corporation
AMT Alternative Minimum Tax Paper
BIG Insured by Bond Insurance Guarantee
ETM Escrowed to Maturity
FGIC Insured by Financial Guaranty Insurance Corporation
FHA Federal Housing Administration
FHLMC Insured by Freddie Mac
FNMA Insured by Fannie Mae
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
GSL Guaranteed Student Loans
GTY Guaranty
IDA Industrial Development Authority
IDR Industrial Development Revenue
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
PCR Pollution Control Revenue
PSFG Permanent School Funding Guarantee
VA Veterans Administration
</TABLE>
See notes to financial statements.
106
<PAGE> 109
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
SHORT-TERM INTERMEDIATE TAX-FREE MUNICIPAL ARIZONA
MUNICIPAL TAX-FREE BOND INCOME MUNICIPAL
BOND FUND BOND FUND FUND FUND BOND FUND
---------- ------------ -------- ---------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost.................................. $119,602 $763,683 $622,812 $1,138,291 $195,183
Unrealized appreciation (depreciation) from
investments......................................... (299) 3,125 14,141 (11,492) 3,429
-------- -------- -------- ---------- --------
Investments, at value................................. 119,303 766,808 636,953 1,126,799 198,612
Cash.................................................. 123 1,956 -- 3,230 --
Interest & dividends receivable....................... 1,600 10,167 10,484 14,647 4,324
Receivable for capital shares issued.................. -- 10 302 252 --
Receivable from brokers for investments sold.......... -- 3,953 2,220 15,392 --
Deferred organization cost............................ 22 -- -- -- --
Prepaid expenses and other assets..................... 6 8 7 8 2
-------- -------- -------- ---------- --------
TOTAL ASSETS.......................................... 121,054 782,902 649,966 1,160,328 202,938
-------- -------- -------- ---------- --------
LIABILITIES:
Dividends payable..................................... 411 3,023 2,676 4,697 822
Payable to brokers for investments purchased.......... -- 2,137 -- 45,722 3,084
Payable for capital shares redeemed................... -- 74 6 128 --
Accrued expenses and other payables:
Investment advisory fees............................ 28 256 212 317 65
Administration fees................................. 7 52 40 73 13
Distribution fees................................... 1 12 9 110 1
Other............................................... 102 274 271 414 96
-------- -------- -------- ---------- --------
TOTAL LIABILITIES..................................... 549 5,828 3,214 51,461 4,081
-------- -------- -------- ---------- --------
NET ASSETS:
Capital............................................... 122,171 799,353 646,197 1,163,689 199,878
Undistributed (distributions in excess of) net
investment income................................... 7 231 10 18 --
Accumulated undistributed net realized gains (losses)
from investment transactions........................ (1,374) (25,635) (13,596) (43,348) (4,450)
Net unrealized appreciation (depreciation) from
investments......................................... (299) 3,125 14,141 (11,492) 3,429
-------- -------- -------- ---------- --------
NET ASSETS............................................ $120,505 $777,074 $646,752 $1,108,867 $198,857
======== ======== ======== ========== ========
NET ASSETS:
Class I............................................. $116,527 $737,277 $609,667 $ 857,118 $195,753
Class A............................................. 3,053 32,200 33,629 144,335 2,391
Class B............................................. 925 7,597 3,456 90,118 713
Class C............................................. -- -- -- 17,296 --
-------- -------- -------- ---------- --------
Total................................................. $120,505 $777,074 $646,752 $1,108,867 $198,857
======== ======== ======== ========== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I............................................. 11,776 70,798 50,166 90,634 20,703
Class A............................................. 309 3,094 2,765 15,214 255
Class B............................................. 93 728 284 9,535 75
Class C............................................. -- -- -- 1,831 --
-------- -------- -------- ---------- --------
Total................................................. 12,178 74,620 53,215 117,214 21,033
======== ======== ======== ========== ========
Net Asset Value
Class I -- Offering and redemption price per
share............................................. $ 9.90 $ 10.41 $ 12.15 $ 9.46 $ 9.46
======== ======== ======== ========== ========
Class A -- Redemption price per share............... $ 9.87 $ 10.41 $ 12.16 $ 9.49 $ 9.39
======== ======== ======== ========== ========
Maximum sales charge.............................. 3.00% 4.50% 4.50% 4.50% 4.50%
======== ======== ======== ========== ========
Maximum offering price per share (100%/(100% --
maximum sales charge) of net asset value
adjusted to nearest cent)....................... $ 10.18 $ 10.90 $ 12.73 $ 9.94 $ 9.83
======== ======== ======== ========== ========
Class B -- Offering price per share (a)............. $ 9.94 $ 10.44 $ 12.16 $ 9.45 $ 9.46
======== ======== ======== ========== ========
Class C -- Offering price per share (a)............. $ 9.45
==========
</TABLE>
------------
(a) Redemptions price per Class B and Class C share varies based on length of
time shares are held.
See notes to financial statements.
107
<PAGE> 110
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
KENTUCKY LOUISIANA MICHIGAN OHIO WEST VIRGINIA
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND BOND FUND BOND FUND
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost.................................. $142,086 $143,597 $271,193 $195,661 $100,445
Unrealized appreciation (depreciation) from
investments......................................... 2,683 1,667 2,604 2,531 2,144
-------- -------- -------- -------- --------
Investments, at value................................. 144,769 145,264 273,797 198,192 102,589
Cash.................................................. -- 1,529 -- -- --
Interest & dividends receivable....................... 2,206 2,419 3,095 2,220 1,367
Receivable for capital shares issued.................. 1 -- 159 -- 3
Prepaid expenses and other assets..................... 3 4 7 4 3
-------- -------- -------- -------- --------
TOTAL ASSETS.......................................... 146,979 149,216 277,058 200,416 103,962
-------- -------- -------- -------- --------
LIABILITIES:
Dividends payable..................................... 583 586 1,127 809 419
Payable to brokers for investments purchased.......... -- -- 1,022 -- 1,004
Payable for capital shares redeemed................... -- 188 22 132 --
Accrued expenses and other payables:
Investment advisory fees............................ 46 46 90 62 33
Administration fees................................. 10 10 17 13 7
Distribution fees................................... 11 19 14 37 5
Other............................................... 71 94 121 89 70
-------- -------- -------- -------- --------
TOTAL LIABILITIES..................................... 721 943 2,413 1,142 1,538
-------- -------- -------- -------- --------
NET ASSETS:
Capital............................................... 146,863 148,915 283,629 205,072 101,784
Undistributed (distributions in excess of) net
investment income................................... -- -- 9 5 --
Accumulated undistributed net realized gains (losses)
from investment and futures transactions............ (3,288) (2,309) (11,597) (8,334) (1,504)
Net unrealized appreciation (depreciation) from
investments......................................... 2,683 1,667 2,604 2,531 2,144
-------- -------- -------- -------- --------
NET ASSETS............................................ $146,258 $148,273 $274,645 $199,274 $102,424
======== ======== ======== ======== ========
NET ASSETS:
Class I............................................. $124,778 $ 80,167 $233,913 $126,362 $ 91,975
Class A............................................. 8,230 58,225 30,626 32,307 3,677
Class B............................................. 13,250 9,881 10,106 40,605 6,772
-------- -------- -------- -------- --------
Total................................................. $146,258 $148,273 $274,645 $199,274 $102,424
======== ======== ======== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I............................................. 12,610 8,228 22,891 12,104 9,449
Class A............................................. 831 5,976 2,995 3,085 375
Class B............................................. 1,346 1,014 1,022 3,852 691
-------- -------- -------- -------- --------
Total................................................. 14,787 15,218 26,908 19,041 10,515
======== ======== ======== ======== ========
Net Asset Value
Class I -- Offering and redemption price per
share............................................. $ 9.90 $ 9.74 $ 10.22 $ 10.44 $ 9.73
======== ======== ======== ======== ========
Class A -- Redemption price per share............... $ 9.90 $ 9.74 $ 10.22 $ 10.47 $ 9.81
======== ======== ======== ======== ========
Maximum sales charge.............................. 4.50% 4.50% 4.50% 4.50% 4.50%
======== ======== ======== ======== ========
Maximum offering price per share (100%/(100% --
maximum sales charge) of net asset value
adjusted to nearest cent)....................... $ 10.37 $ 10.20 $ 10.70 $ 10.96 $ 10.27
======== ======== ======== ======== ========
Class B -- Offering price per share (a)............. $ 9.84 $ 9.75 $ 9.89 $ 10.54 $ 9.80
======== ======== ======== ======== ========
</TABLE>
------------
(a) Redemptions price per Class B share varies based on length of time shares
are held.
See notes to financial statements.
108
<PAGE> 111
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHORT-TERM INTERMEDIATE TAX-FREE MUNICIPAL ARIZONA
MUNICIPAL TAX-FREE BOND INCOME MUNICIPAL
BOND FUND BOND FUND FUND FUND BOND FUND
---------- ------------ -------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................... $ 7,038 $ 46,524 $ 40,748 $ 56,828 $11,429
Discount accretion............................ 91 3,977 900 6,469 503
Premium amortization.......................... (1,245) (2,194) (1,005) (2,907) (183)
Dividend income............................... 86 397 239 862 133
------- -------- -------- -------- -------
Total Income.................................. 5,970 48,704 40,882 61,252 11,882
------- -------- -------- -------- -------
EXPENSES:
Investment advisory fees...................... 768 5,511 3,308 4,892 986
Administration fees........................... 206 1,481 1,186 1,753 354
Distribution fees (Class A)................... 10 119 125 604 7
Distribution fees (Class B)................... 6 82 30 956 7
Distribution fees (Class C)................... -- -- -- 161 --
Custodian fees................................ 14 31 50 48 14
Legal and audit fees.......................... 19 23 33 25 12
Trustees' fees and expenses................... 9 22 27 26 7
Transfer agent fees........................... 8 30 44 140 5
Amortization of deferred organization costs... 8 -- 1 -- --
Registration and filing fees.................. 65 85 75 161 14
Printing costs................................ 10 46 54 59 10
Other......................................... 33 99 102 139 33
------- -------- -------- -------- -------
Total expenses before waivers................. 1,156 7,529 5,035 8,964 1,449
Less waivers.................................. (408) (1,985) (490) (1,358) (123)
------- -------- -------- -------- -------
Net Expenses.................................. 748 5,544 4,545 7,606 1,326
------- -------- -------- -------- -------
Net Investment Income......................... 5,222 43,160 36,337 53,646 10,556
------- -------- -------- -------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS:
Net realized gains (losses) from investment
transactions................................ (1,371) (18,424) (11,540) (37,766) (4,433)
Net change in unrealized appreciation
(depreciation) from investments............. (382) (7,712) (8,737) (13,470) (1,189)
------- -------- -------- -------- -------
Net realized/unrealized gains (losses) from
investments................................. (1,753) (26,136) (20,277) (51,236) (5,622)
------- -------- -------- -------- -------
Change in net assets resulting from
operations.................................. $ 3,469 $ 17,024 $ 16,060 $ 2,410 $ 4,934
======= ======== ======== ======== =======
</TABLE>
See notes to financial statements.
109
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One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
KENTUCKY LOUISIANA MICHIGAN OHIO WEST VIRGINIA
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND BOND FUND BOND FUND
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................ $ 7,470 $ 9,193 $ 15,936 $11,403 $ 5,202
Discount accretion......................... 653 623 545 1,083 630
Premium amortization....................... (142) (367) (213) (218) (96)
Dividend income............................ 69 30 274 97 122
------- ------- -------- ------- -------
Total Income............................... 8,050 9,479 16,542 12,365 5,858
------- ------- -------- ------- -------
EXPENSES:
Investment advisory fees................... 646 1,028 1,339 1,305 468
Administration fees........................ 231 276 480 351 168
Distribution fees (Class A)................ 30 234 102 101 12
Distribution fees (Class B)................ 139 102 89 457 71
Custodian fees............................. 11 8 20 15 10
Legal and audit fees....................... 11 9 16 11 10
Trustees' fees and expenses................ 6 5 10 6 5
Transfer agent fees........................ 20 39 26 49 9
Registration and filing fees............... 16 25 58 28 13
Printing costs............................. 7 7 16 9 5
Other...................................... 40 30 39 35 21
------- ------- -------- ------- -------
Total expenses before waivers.............. 1,157 1,763 2,195 2,367 792
Less waivers............................... (135) (459) (220) (579) (85)
------- ------- -------- ------- -------
Net Expenses............................... 1,022 1,304 1,975 1,788 707
------- ------- -------- ------- -------
Net Investment Income...................... 7,028 8,175 14,567 10,577 5,151
------- ------- -------- ------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS:
Net realized gains (losses) from investment
and futures transactions................. (1,556) (2,311) (11,596) (3,956) (1,504)
Net change in unrealized appreciation
(depreciation) from investments.......... (1,652) (2,021) (758) (2,964) (925)
------- ------- -------- ------- -------
Net realized/unrealized gains (losses) from
investments.............................. (3,208) (4,332) (12,354) (6,920) (2,429)
------- ------- -------- ------- -------
Change in net assets resulting from
operations............................... $ 3,820 $ 3,843 $ 2,213 $ 3,657 $ 2,722
======= ======= ======== ======= =======
</TABLE>
See notes to financial statements.
110
<PAGE> 113
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INTERMEDIATE TAX FREE TAX-FREE
BOND FUND BOND FUND BOND FUND
------------------------------------ ----------------------- ----------------------
YEAR SIX MONTHS MAY 4, YEAR YEAR YEAR SIX MONTHS
ENDED ENDED 1998 TO ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 (a) 1998 (b) 2000 1999 2000 1999 (c)
-------- ---------- ------------ ---------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income....... $ 5,222 $ 2,334 $ 1,749 $ 43,160 $ 30,992 $ 36,337 $ 19,999
Net realized gains (losses)
from investment
transactions.............. (1,371) (4) 56 (18,424) (2,945) (11,540) (2,056)
Net change in unrealized
appreciation
(depreciation) from
investments............... (382) (1,639) 669 (7,712) (31,081) (8,737) (33,577)
-------- -------- -------- ---------- ---------- --------- --------
Change in net assets resulting
from operations............... 3,469 691 2,474 17,024 (3,034) 16,060 (15,634)
-------- -------- -------- ---------- ---------- --------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment
income.................... (5,094) (2,318) (1,733) (41,325) (29,832) (34,532) (19,877)
From net realized gains from
investment transactions... -- (23) (32) -- (7,647) -- (710)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment
income.................... (109) (18) (4) (1,521) (891) (1,685) (887)
From net realized gains from
investment transactions... -- --(d) --(d) -- (229) -- (30)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment
income.................... (19) (2) (1) (314) (269) (120) (41)
From net realized gains from
investment transactions... -- --(d) --(d) -- (102) -- (2)
-------- -------- -------- ---------- ---------- --------- --------
Change in net assets from
shareholder distributions..... (5,222) (2,361) (1,770) (43,160) (38,970) (36,337) (21,547)
-------- -------- -------- ---------- ---------- --------- --------
CAPITAL TRANSACTIONS:
Change in net assets from
capital transactions.......... (12,713) 17,674 118,263 (254,441) 585,795 (169,506) (17,317)
-------- -------- -------- ---------- ---------- --------- --------
Change in net assets............ (14,466) 16,004 118,967 (280,577) 543,791 (189,783) (54,498)
NET ASSETS:
Beginning of period......... 134,971 118,967 -- 1,057,651 513,860 836,535 891,033
-------- -------- -------- ---------- ---------- --------- --------
End of period............... $120,505 $134,971 $118,967 $ 777,074 $1,057,651 $ 646,752 $836,535
======== ======== ======== ========== ========== ========= ========
<CAPTION>
TAX-FREE
BOND FUND
------------
YEAR
ENDED
DECEMBER 31,
1998
------------
<S> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income....... $ 26,897
Net realized gains (losses)
from investment
transactions.............. 2,787
Net change in unrealized
appreciation
(depreciation) from
investments............... 6,497
--------
Change in net assets resulting
from operations............... 36,181
--------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment
income.................... (25,026)
From net realized gains from
investment transactions... (1,639)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment
income.................... (1,770)
From net realized gains from
investment transactions... (86)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment
income.................... (63)
From net realized gains from
investment transactions... (4)
--------
Change in net assets from
shareholder distributions..... (28,588)
--------
CAPITAL TRANSACTIONS:
Change in net assets from
capital transactions.......... 491,585
--------
Change in net assets............ 499,178
NET ASSETS:
Beginning of period......... 391,855
--------
End of period............... $891,033
========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Short
Municipal Bond Fund became the Short-Term Municipal Bond Fund. The
Statements of Changes in Net Assets for the periods prior to March 22, 1999,
represent the Pegasus Short Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Municipal
Bond Fund became the Tax-Free Bond Fund. The Statements of Changes in Net
Assets for the periods prior to March 22, 1999, represent the Pegasus
Municipal Bond Fund.
(d) Amount less than $1,000.
See notes to financial statements.
111
<PAGE> 114
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MUNICIPAL ARIZONA MUNICIPAL KENTUCKY MUNICIPAL LOUISIANA MUNICIPAL
INCOME FUND BOND FUND BOND FUND BOND FUND
----------------------- ------------------- ------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- ---------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............. $ 53,646 $ 44,201 $ 10,556 $ 11,241 $ 7,028 $ 6,801 $ 8,175 $ 8,793
Net realized gains (losses) from
investment transactions......... (37,766) 470 (4,433) 2,448 (1,556) (52) (2,311) 201
Net change in unrealized
appreciation (depreciation) from
investments..................... (13,470) (21,731) (1,189) (8,561) (1,652) (4,095) (2,021) (5,727)
---------- ---------- -------- -------- -------- -------- -------- --------
Change in net assets resulting from
operations.......................... 2,410 22,940 4,934 5,128 3,820 2,654 3,843 3,267
---------- ---------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........ (40,733) (34,013) (10,441) (11,155) (6,052) (5,985) (4,648) (5,005)
From net realized gains from
investment transactions......... -- -- (1,563) (3,594) -- -- (76) (207)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........ (8,268) (6,846) (89) (70) (402) (395) (3,118) (3,453)
From net realized gains from
investment transactions......... -- -- (13) (20) -- -- (53) (113)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........ (3,976) (3,104) (26) (16) (574) (421) (409) (335)
From net realized gains from
investment transactions......... -- -- (5) (5) -- -- (8) (13)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income........ (669) (238) -- -- -- -- -- --
---------- ---------- -------- -------- -------- -------- -------- --------
Change in net assets from shareholder
distributions....................... (53,646) (44,201) (12,137) (14,860) (7,028) (6,801) (8,312) (9,126)
---------- ---------- -------- -------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions........................ 115,677 286,870 (29,739) (4,670) 1,339 16,574 (40,376) 53,735
---------- ---------- -------- -------- -------- -------- -------- --------
Change in net assets.................. 64,441 265,609 (36,942) (14,402) (1,869) 12,427 (44,845) 47,876
NET ASSETS:
Beginning of period............... 1,044,426 778,817 235,799 250,201 148,127 135,700 193,118 145,242
---------- ---------- -------- -------- -------- -------- -------- --------
End of period..................... $1,108,867 $1,044,426 $198,857 $235,799 $146,258 $148,127 $148,273 $193,118
========== ========== ======== ======== ======== ======== ======== ========
</TABLE>
See notes to financial statements.
112
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
WEST VIRGINIA
MICHIGAN MUNICIPAL OHIO MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND
--------------------------------------- -------------------- --------------------
YEAR SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 (a) 1998 2000 1999 2000 1999
-------- ----------- ------------ -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............... $ 14,567 $ 7,488 $ 7,825 $ 10,577 $ 10,325 $ 5,151 $ 5,306
Net realized gains (losses) from
investment and futures
transactions...................... (11,596) 480 810 (3,956) (494) (1,504) 110
Net change in unrealized
appreciation (depreciation) from
investments....................... (758) (13,062) 1,875 (2,964) (6,916) (925) (3,453)
-------- -------- -------- -------- -------- -------- --------
Change in net assets resulting from
operations............................ 2,213 (5,094) 10,510 3,657 2,915 2,722 1,963
-------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.......... (12,818) (7,069) (6,900) (7,280) (7,834) (4,696) (4,900)
From net realized gains from
investment transactions........... (423) (22) (481) -- -- (34) (127)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.......... (1,374) (475) (849) (1,398) (1,004) (166) (186)
From net realized gains from
investment transactions........... (42) (2) (33) -- -- (1) (4)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.......... (375) (64) (50) (1,899) (1,487) (289) (220)
From net realized gains from
investment transactions........... (16) --(b) (3) -- -- (3) (6)
-------- -------- -------- -------- -------- -------- --------
Change in net assets from shareholder
distributions......................... (15,048) (7,632) (8,316) (10,577) (10,325) (5,189) (5,443)
-------- -------- -------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions.......................... (50,953) 27,501 240,300 (30,878) 51,157 (4,575) 5,157
-------- -------- -------- -------- -------- -------- --------
Change in net assets.................... (63,788) 14,775 242,494 (37,798) 43,747 (7,042) 1,677
NET ASSETS:
Beginning of period................. 338,433 323,658 81,164 237,072 193,325 109,466 107,789
-------- -------- -------- -------- -------- -------- --------
End of period....................... $274,645 $338,433 $323,658 $199,274 $237,072 $102,424 $109,466
======== ======== ======== ======== ======== ======== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Bond Fund became the Michigan Municipal Bond Fund. The Statements
of Changes in Net Assets for the periods prior to March 22, 1999, represent
the Pegasus Michigan Municipal Bond Fund.
(b) Amount less than $1,000.
See notes to financial statements.
113
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One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INTERMEDIATE TAX-FREE
BOND FUND BOND FUND
-------------------------------------- -----------------------
YEAR SIX MONTHS MAY 4, YEAR YEAR
ENDED ENDED 1998 TO ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
2000 1999 (a) 1998 (b) 2000 1999
-------- ---------- ------------ --------- --------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 58,691 $ 32,888 $ 28,335 $ 88,533 $125,858
Proceeds from shares issued in conversions................ -- -- 95,766 -- 50,518
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 471,982
Dividends reinvested...................................... 153 80 271 30 2,422
Cost of shares redeemed................................... (73,498) (16,716) (6,780) (340,121) (90,415)
-------- -------- -------- --------- --------
Change in net assets from Class I capital transactions.... $(14,654) $ 16,252 $117,592 $(251,558) $560,365
======== ======== ======== ========= ========
CLASS A SHARES:
Proceeds from shares issued............................... $ 5,247 $ 1,774 $ 558 $ 15,099 $ 7,787
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 20,534
Dividends reinvested...................................... 73 15 2 886 715
Cost of shares redeemed................................... (4,082) (484) -- (17,597) (7,422)
-------- -------- -------- --------- --------
Change in net assets from Class A capital transactions.... $ 1,238 $ 1,305 $ 560 $ (1,612) $ 21,614
======== ======== ======== ========= ========
CLASS B SHARES:
Proceeds from shares issued............................... $ 850 $ 169 $ 110 $ 1,473 $ 3,903
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 715
Dividends reinvested...................................... 15 2 1 233 297
Cost of shares redeemed................................... (162) (54) -- (2,977) (1,099)
-------- -------- -------- --------- --------
Change in net assets from Class B capital transactions.... $ 703 $ 117 $ 111 $ (1,271) $ 3,816
======== ======== ======== ========= ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 5,916 3,252 2,850 8,436 11,419
Issued in conversions..................................... -- -- 9,463 -- 4,541
Issued in Pegasus acquisition............................. -- -- -- -- 42,711
Reinvested................................................ 15 8 -- 3 219
Redeemed.................................................. (7,413) (1,648) (666) (32,612) (8,209)
-------- -------- -------- --------- --------
Change in Class I Shares.................................. (1,482) 1,612 11,647 (24,173) 50,681
======== ======== ======== ========= ========
CLASS A SHARES:
Issued.................................................... 533 176 55 1,442 706
Issued in Pegasus acquisition............................. -- -- -- -- 1,858
Reinvested................................................ 7 1 --(c) 85 64
Redeemed.................................................. (415) (48) -- (1,688) (676)
-------- -------- -------- --------- --------
Change in Class A Shares.................................. 125 129 55 (161) 1,952
======== ======== ======== ========= ========
CLASS B SHARES:
Issued.................................................... 84 17 11 141 350
Issued in Pegasus acquisition............................. -- -- -- -- 65
Reinvested................................................ 2 -- --(c) 22 27
Redeemed.................................................. (16) (5) -- (285) (100)
-------- -------- -------- --------- --------
Change in Class B Shares.................................. 70 12 11 (122) 342
======== ======== ======== ========= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Short
Municipal Bond Fund became the Short-Term Municipal Bond Fund. The Schedules
of Capital Stock Activity for the periods prior to March 22, 1999, represent
the Pegasus Short Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Amount is less than 1,000.
See notes to financial statements.
114
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
TAX-FREE MUNICIPAL ARIZONA MUNICIPAL
BOND FUND INCOME FUND BOND FUND
------------------------------------------- ----------------------- ----------------------
YEAR SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 (a) 1998 2000 1999 2000 1999
--------- ---------- ------------ --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares
issued.................. $ 99,564 $ 43,899 $ 89,326 $ 372,775 $214,044 $28,522 $ 25,638
Proceeds from shares
issued in conversions... -- -- 449,204 -- -- -- --
Dividends reinvested...... 248 795 1,162 116 64 611 1,082
Cost of shares redeemed... (266,714) (55,106) (60,985) (223,714) (72,581) (59,601) (32,308)
--------- -------- -------- --------- -------- -------- --------
Change in net assets from
Class I capital
transactions............ $(166,902) $(10,412) $478,707 $ 149,177 $141,527 $(30,468) $ (5,588)
========= ======== ======== ========= ======== ======== ========
CLASS A SHARES:
Proceeds from shares
issued.................. $ 12,643 $ 11,193 $ 19,917 $ 75,901 $193,257 $ 2,130 $ 963
Dividends reinvested...... 1,150 678 1,123 6,962 5,621 36 31
Cost of shares redeemed... (17,472) (19,172) (8,974) (117,633) (108,374) (1,529) (449)
--------- -------- -------- --------- -------- -------- --------
Change in net assets from
Class A capital
transactions............ $ (3,679) $ (7,301) $ 12,066 $ (34,770) $ 90,504 $ 637 $ 545
========= ======== ======== ========= ======== ======== ========
CLASS B SHARES:
Proceeds from shares
issued.................. $ 2,032 $ 650 $ 994 $ 20,683 $ 50,465 $ 306 $ 364
Dividends reinvested...... 77 29 48 2,885 2,235 18 9
Cost of shares redeemed... (1,034) (283) (231) (26,595) (9,665) (232) --
--------- -------- -------- --------- -------- -------- --------
Change in net assets from
Class B capital
transactions............ $ 1,075 $ 396 $ 811 $ (3,027) $ 43,035 $ 92 $ 373
========= ======== ======== ========= ======== ======== ========
CLASS C SHARES:
Proceeds from shares
issued.................. $ 12,112 $ 14,415
Dividends reinvested...... 584 188
Cost of shares redeemed... (8,399) (2,799)
--------- --------
Change in net assets from
Class C capital
transactions............ $ 4,297 $ 11,804
========= ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................... 8,261 3,394 6,980 39,008 21,119 3,000 2,551
Issued in conversions..... -- -- 34,802 -- -- -- --
Reinvested................ 20 62 89 12 6 65 108
Redeemed.................. (22,109) (4,300) (4,707) (23,482) (7,166) (6,312) (3,196)
--------- -------- -------- --------- -------- -------- --------
Change in Class I
Shares.................. (13,828) (844) 37,164 15,538 13,959 (3,247) (537)
========= ======== ======== ========= ======== ======== ========
CLASS A SHARES:
Issued.................... 1,043 876 1,539 7,878 19,009 227 96
Reinvested................ 95 52 87 726 552 4 3
Redeemed.................. (1,447) (1,485) (694) (12,308) (10,686) (162) (44)
--------- -------- -------- --------- -------- -------- --------
Change in Class A
Shares.................. (309) (557) 932 (3,704) 8,875 69 55
========= ======== ======== ========= ======== ======== ========
CLASS B SHARES:
Issued.................... 168 51 77 2,152 4,982 32 36
Reinvested................ 6 2 4 302 220 2 1
Redeemed.................. (86) (22) (18) (2,799) (956) (25) --
--------- -------- -------- --------- -------- -------- --------
Change in Class B
Shares.................. 88 31 63 (345) 4,246 9 37
========= ======== ======== ========= ======== ======== ========
CLASS C SHARES:
Issued.................... 1,264 1,425
Reinvested................ 61 19
Redeemed.................. (881) (277)
--------- --------
Change in Class C
Shares.................. 444 1,167
========= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Municipal
Bond Fund became the Tax-Free Bond Fund. The Schedules of Capital Stock
Activity for the periods prior to March 22, 1999, represent the Pegasus
Municipal Bond Fund.
See notes to financial statements.
115
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL LOUISIANA MUNICIPAL
BOND FUND BOND FUND
---------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999
-------- -------- -------- --------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................. $38,594 $19,845 $10,088 $20,995
Proceeds from shares issued in Marquis
acquisition............................... -- -- -- 15,090
Proceeds from shares issued in
conversions............................... -- -- -- --
Dividends reinvested........................ 51 8 9 171
Cost of shares redeemed..................... (34,127) (15,769) (33,760) (19,498)
-------- -------- -------- --------
Change in net assets from Class I capital
transactions.............................. $ 4,518 $ 4,084 $(23,663) $16,758
======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued................. $ 1,796 $ 3,399 $ 5,895 $16,545
Proceeds from shares issued in Marquis
acquisition............................... -- -- -- 34,487
Dividends reinvested........................ 283 261 1,951 2,039
Cost of shares redeemed..................... (3,715) (1,207) (23,817) (21,854)
-------- -------- -------- --------
Change in net assets from Class A capital
transactions.............................. $(1,636) $ 2,453 $(15,971) $31,217
======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued................. $ 2,194 $10,761 $ 1,584 $ 5,152
Proceeds from shares issued in Marquis
acquisition............................... -- -- -- 2,002
Dividends reinvested........................ 403 281 298 236
Cost of shares redeemed..................... (4,140) (1,005) (2,624) (1,630)
-------- -------- -------- --------
Change in net assets from Class B capital
transactions.............................. $(1,543) $10,037 $ (742) $ 5,760
======== ======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued...................................... 3,915 1,901 1,028 2,034
Issued in Marquis acquisition............... -- -- -- 1,474
Issued in conversions....................... -- -- -- --
Reinvested.................................. 5 1 1 17
Redeemed.................................... (3,453) (1,509) (3,470) (1,891)
-------- -------- -------- --------
Change in Class I Shares.................... 467 393 (2,441) 1,634
======== ======== ======== ========
CLASS A SHARES:
Issued...................................... 181 326 599 1,602
Issued in Marquis acquisition............... -- -- -- 3,368
Reinvested.................................. 29 25 200 198
Redeemed.................................... (374) (115) (2,447) (2,133)
-------- -------- -------- --------
Change in Class A Shares.................... (164) 236 (1,648) 3,035
======== ======== ======== ========
CLASS B SHARES:
Issued...................................... 222 1,036 163 496
Issued in Marquis acquisition............... -- -- -- 195
Reinvested.................................. 41 27 31 23
Redeemed.................................... (421) (98) (270) (158)
-------- -------- -------- --------
Change in Class B Shares.................... (158) 965 (76) 556
======== ======== ======== ========
<CAPTION>
MICHIGAN MUNICIPAL
BOND FUND
-------------------------------------------
YEAR SIX MONTHS YEAR
ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998
--------- ---------- ------------
<S> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................. $ 46,616 $ 41,357 $ 41,309
Proceeds from shares issued in Marquis
acquisition............................... -- -- --
Proceeds from shares issued in
conversions............................... -- -- 207,445
Dividends reinvested........................ 453 126 629
Cost of shares redeemed..................... (111,122) (19,178) (14,329)
--------- -------- --------
Change in net assets from Class I capital
transactions.............................. $(64,053) $ 22,305 $235,054
========= ======== ========
CLASS A SHARES:
Proceeds from shares issued................. $ 21,485 $ 6,796 $ 6,878
Proceeds from shares issued in Marquis
acquisition............................... -- -- --
Dividends reinvested........................ 1,073 370 671
Cost of shares redeemed..................... (13,099) (6,989) (3,525)
--------- -------- --------
Change in net assets from Class A capital
transactions.............................. $ 9,459 $ 177 $ 4,024
========= ======== ========
CLASS B SHARES:
Proceeds from shares issued................. $ 5,623 $ 5,096 $ 1,202
Proceeds from shares issued in Marquis
acquisition............................... -- -- --
Dividends reinvested........................ 284 36 28
Cost of shares redeemed..................... (2,266) (113) (7)
--------- -------- --------
Change in net assets from Class B capital
transactions.............................. $ 3,641 $ 5,019 $ 1,223
========= ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued...................................... 4,592 3,788 3,794
Issued in Marquis acquisition............... -- -- --
Issued in conversions....................... -- -- 18,876
Reinvested.................................. 44 11 57
Redeemed.................................... (10,882) (1,750) (1,290)
--------- -------- --------
Change in Class I Shares.................... (6,246) 2,049 21,437
========= ======== ========
CLASS A SHARES:
Issued...................................... 2,085 623 623
Issued in Marquis acquisition............... -- -- --
Reinvested.................................. 105 34 61
Redeemed.................................... (1,285) (640) (320)
--------- -------- --------
Change in Class A Shares.................... 905 17 364
========= ======== ========
CLASS B SHARES:
Issued...................................... 567 485 113
Issued in Marquis acquisition............... -- -- --
Reinvested.................................. 29 3 3
Redeemed.................................... (233) (11) (1)
--------- -------- --------
Change in Class B Shares.................... 363 477 115
========= ======== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Bond Fund became the Michigan Municipal Bond Fund. The Schedules
of Capital Stock Activity for the periods prior to March 22, 1999, represent
the Pegasus Michigan Municipal Bond Fund.
See notes to financial statements.
116
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One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
WEST VIRGINIA
OHIO MUNICIPAL MUNICIPAL
BOND FUND BOND FUND
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999
-------- -------- -------- --------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $21,850 $40,536 $10,656 $ 13,880
Dividends reinvested...................................... 38 34 19 46
Cost of shares redeemed................................... (51,336) (25,022) (14,878) (14,873)
-------- -------- -------- --------
Change in net assets from Class I capital transactions.... $(29,448) $15,548 $(4,203) $ (947)
======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued............................... $13,675 $15,718 $ 1,183 $ 4,559
Dividends reinvested...................................... 1,143 816 94 144
Cost of shares redeemed................................... (8,630) (6,121) (1,089) (3,013)
-------- -------- -------- --------
Change in net assets from Class A capital transactions.... $ 6,188 $10,413 $ 188 $ 1,690
======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued............................... $ 5,768 $30,010 $ 1,306 $ 5,149
Dividends reinvested...................................... 1,567 1,155 219 148
Cost of shares redeemed................................... (14,953) (5,969) (2,085) (883)
-------- -------- -------- --------
Change in net assets from Class B capital transactions.... $(7,618) $25,196 $ (560) $ 4,414
======== ======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 2,090 3,649 1,097 1,349
Reinvested................................................ 4 3 2 5
Redeemed.................................................. (4,914) (2,261) (1,527) (1,443)
-------- -------- -------- --------
Change in Class I Shares.................................. (2,820) 1,391 (428) (89)
======== ======== ======== ========
CLASS A SHARES:
Issued.................................................... 1,308 1,416 121 438
Reinvested................................................ 109 73 9 14
Redeemed.................................................. (824) (554) (111) (291)
-------- -------- -------- --------
Change in Class A Shares.................................. 593 935 19 161
======== ======== ======== ========
CLASS B SHARES:
Issued.................................................... 544 2,671 133 495
Reinvested................................................ 148 103 23 14
Redeemed.................................................. (1,417) (534) (213) (85)
-------- -------- -------- --------
Change in Class B Shares.................................. (725) 2,240 (57) 424
======== ======== ======== ========
</TABLE>
See notes to financial statements.
117
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
------------------------------------------
CLASS I SHARES
------------------------------------------
YEAR SIX MONTHS MAY 4,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.02 $ 10.16 $ 10.00
-------- -------- --------
Investment Activities:
Net investment income..................................... 0.41 0.19 0.25
Net realized and unrealized gains (losses) from
investments............................................ (0.12) (0.14) 0.16
-------- -------- --------
Total from Investment Activities....................... 0.29 0.05 0.41
-------- -------- --------
Distributions:
Net investment income..................................... (0.41) (0.19) (0.25)
-------- -------- --------
Total Distributions.................................... (0.41) (0.19) (0.25)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.90 $ 10.02 $ 10.16
======== ======== ========
Total Return................................................ 2.93% 0.50%(c) 4.15%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $116,527 $132,902 $118,296
Ratio of expenses to average net assets................... 0.57% 0.62%(d) 0.61%(d)
Ratio of net investment income to average net assets...... 4.09% 3.79%(d) 3.75%(d)
Ratio of expenses to average net assets*.................. 0.89% 0.80%(d) 0.70%(d)
Portfolio turnover (e).................................... 113.70% 74.84% 32.23%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Short
Municipal Bond Fund became the Short-Term Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Short Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
118
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
------------------------------------------
CLASS A SHARES
------------------------------------------
YEAR SIX MONTHS MAY 4,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.01 $10.15 $10.00
------ ------ ------
Investment Activities:
Net investment income..................................... 0.38 0.19 0.22
Net realized and unrealized gains (losses) from
investments............................................ (0.14) (0.15) 0.16
------ ------ ------
Total from Investment Activities....................... 0.24 0.04 0.38
------ ------ ------
Distributions:
Net investment income..................................... (0.38) (0.18) (0.23)
------ ------ ------
Total Distributions.................................... (0.38) (0.18) (0.23)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.87 $10.01 $10.15
====== ====== ======
Total Return (Excludes Sales Charge)........................ 2.47% 0.37%(c) 3.89%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $3,053 $1,843 $ 559
Ratio of expenses to average net assets................... 0.82% 0.86%(d) 0.86%(d)
Ratio of net investment income to average net assets...... 3.91% 3.48%(d) 3.53%(d)
Ratio of expenses to average net assets*.................. 1.24% 1.16%(d) 0.99%(d)
Portfolio turnover (e).................................... 113.70% 74.84% 32.23%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Short
Municipal Bond Fund became the Short-Term Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Short Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
119
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
------------------------------------------
CLASS B SHARES
------------------------------------------
YEAR SIX MONTHS MAY 4,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.05 $10.19 $10.00
------ ------ ------
Investment Activities:
Net investment income..................................... 0.31 0.15 0.13
Net realized and unrealized gains (losses) from
investments............................................ (0.11) (0.14) 0.21
------ ------ ------
Total from Investment Activities....................... 0.20 0.01 0.34
------ ------ ------
Distributions:
Net investment income..................................... (0.31) (0.15) (0.15)
------ ------ ------
Total Distributions.................................... (0.31) (0.15) (0.15)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.94 $10.05 $10.19
====== ====== ======
Total Return (Excludes Sales Charge)........................ 2.08% 0.11%(c) 3.48%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 925 $ 226 $ 112
Ratio of expenses to average net assets................... 1.47% 1.55%(d) 1.61%(d)
Ratio of net investment income to average net assets...... 3.24% 2.80%(d) 2.43%(d)
Ratio of expenses to average net assets*.................. 1.89% 1.80%(d) 1.68%(d)
Portfolio turnover (e).................................... 113.70% 74.84% 32.23%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Short
Municipal Bond Fund became the Short-Term Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Short Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
120
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------------
2000 1999 1998 1997 1996
-------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 10.68 $ 11.15 $ 10.92 $ 10.67 $ 10.64
-------- ---------- -------- -------- --------
Investment Activities:
Net investment income................... 0.49 0.50 0.52 0.54 0.52
Net realized and unrealized gains
(losses) from investments............ (0.27) (0.30) 0.31 0.27 0.04
-------- ---------- -------- -------- --------
Total from Investment Activities..... 0.22 0.20 0.83 0.81 0.56
-------- ---------- -------- -------- --------
Distributions:
Net investment income................... (0.49) (0.50) (0.52) (0.54) (0.51)
Net realized gains...................... -- (0.17) (0.08) (0.02) (0.02)
-------- ---------- -------- -------- --------
Total Distributions.................. (0.49) (0.67) (0.60) (0.56) (0.53)
-------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............ $ 10.41 $ 10.68 $ 11.15 $ 10.92 $ 10.67
======== ========== ======== ======== ========
Total Return.............................. 2.19% 1.71% 7.74% 7.76% 5.39%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $737,277 $1,013,839 $493,686 $451,089 $217,201
Ratio of expenses to average net
assets............................... 0.59% 0.59% 0.60% 0.58% 0.54%
Ratio of net investment income to
average net assets................... 4.72% 4.49% 4.70% 5.05% 4.87%
Ratio of expenses to average net
assets*.............................. 0.80% 0.81% 0.81% 0.81% 0.87%
Portfolio turnover (a).................. 86.32% 108.41% 109.03% 86.89% 111.58%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
121
<PAGE> 124
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
---------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 10.67 $ 11.14 $ 10.91 $10.67 $10.63
------- ------- ------- ------ ------
Investment Activities:
Net investment income........................... 0.47 0.47 0.50 0.51 0.50
Net realized and unrealized gains (losses) from
investments.................................. (0.26) (0.30) 0.31 0.26 0.05
------- ------- ------- ------ ------
Total from Investment Activities............. 0.21 0.17 0.81 0.77 0.55
------- ------- ------- ------ ------
Distributions:
Net investment income........................... (0.47) (0.47) (0.50) (0.51) (0.49)
Net realized gains.............................. -- (0.17) (0.08) (0.02) (0.02)
------- ------- ------- ------ ------
Total Distributions.......................... (0.47) (0.64) (0.58) (0.53) (0.51)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD.................... $ 10.41 $ 10.67 $ 11.14 $10.91 $10.67
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge).............. 2.03% 1.45% 7.50% 7.39% 5.28%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............... $32,200 $34,725 $14,515 $8,457 $6,622
Ratio of expenses to average net assets......... 0.84% 0.84% 0.85% 0.83% 0.79%
Ratio of net investment income to average net
assets....................................... 4.48% 4.28% 4.45% 4.75% 4.62%
Ratio of expenses to average net assets*........ 1.15% 1.16% 1.16% 1.15% 1.22%
Portfolio turnover (a).......................... 86.32% 108.41% 109.03% 86.89% 111.58%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
122
<PAGE> 125
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
------------------------------------------------------
CLASS B SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
2000 1999 1998 1997 1996
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $10.69 $11.16 $10.93 $10.68 $10.65
------ ------ ------ ------ ------
Investment Activities:
Net investment income.............................. 0.40 0.40 0.43 0.45 0.43
Net realized and unrealized gains (losses) from
investments..................................... (0.25) (0.30) 0.31 0.27 0.04
------ ------ ------ ------ ------
Total from Investment Activities................ 0.15 0.10 0.74 0.72 0.47
------ ------ ------ ------ ------
Distributions:
Net investment income.............................. (0.40) (0.40) (0.43) (0.45) (0.42)
Net realized gains................................. -- (0.17) (0.08) (0.02) (0.02)
------ ------ ------ ------ ------
Total Distributions............................. (0.40) (0.57) (0.51) (0.47) (0.44)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD....................... $10.44 $10.69 $11.16 $10.93 $10.68
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)................. 1.46% 0.80% 6.81% 6.82% 4.48%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $7,597 $9,087 $5,659 $3,307 $2,439
Ratio of expenses to average net assets............ 1.48% 1.49% 1.50% 1.47% 1.44%
Ratio of net investment income to average net
assets.......................................... 3.81% 3.58% 3.80% 4.09% 3.97%
Ratio of expenses to average net assets*........... 1.79% 1.81% 1.81% 1.78% 1.87%
Portfolio turnover (a)............................. 86.32% 108.41% 109.03% 86.89% 111.58%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
123
<PAGE> 126
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
----------------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------------
YEAR SIX MONTHS MARCH 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 12.44 $ 12.98 $ 12.86 $ 12.36 $ 12.63 $ 12.06
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income............. 0.60 0.29 0.60 0.61 0.65 0.52
Net realized and unrealized gains
(losses) from investments....... (0.29) (0.52) 0.16 0.51 (0.20) 0.81
-------- -------- -------- -------- -------- --------
Total from Investment
Activities................... 0.31 (0.23) 0.76 1.12 0.45 1.33
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income............. (0.60) (0.30) (0.61) (0.62) (0.61) (0.52)
Net realized gains................ -- (0.01) (0.03) -- (0.01) (0.24)
In excess of net realized gains... -- -- -- -- (0.10) --
-------- -------- -------- -------- -------- --------
Total Distributions............. (0.60) (0.31) (0.64) (0.62) (0.72) (0.76)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD...... $ 12.15 $ 12.44 $ 12.98 $ 12.86 $ 12.36 $ 12.63
======== ======== ======== ======== ======== ========
Total Return........................ 2.64% (1.78)%(c) 6.01% 9.32% 3.76% 11.20%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $609,667 $795,839 $841,715 $355,814 $338,104 $240,160
Ratio of expenses to average net
assets.......................... 0.60% 0.63%(d) 0.63% 0.60% 0.58% 0.54%(d)
Ratio of net investment income to
average net assets.............. 4.96% 4.60%(d) 4.61% 4.90% 4.79% 4.95%(d)
Ratio of expenses to average net
assets*......................... 0.66% 0.66%(d) 0.63% 0.60% 0.68% 0.67%(d)
Portfolio turnover(e)............. 44.41% 37.90% 22.05% 32.08% 64.51% 69.31%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Municipal
Bond Fund became the Tax-Free Bond Fund. The Financial Highlights for the
periods prior to March 22, 1999, represent the Pegasus Municipal Bond Fund.
(b) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
124
<PAGE> 127
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
-------------------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------------------
YEAR SIX MONTHS MARCH 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ----------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ------- ------- ------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 12.44 $ 12.99 $ 12.87 $ 12.36 $ 12.64 $12.06
------- ------- ------- ------- ------- ------
Investment Activities:
Net investment income................. 0.57 0.28 0.55 0.56 0.59 0.48
Net realized and unrealized gains
(losses) from investments........... (0.28) (0.53) 0.17 0.54 (0.18) 0.82
------- ------- ------- ------- ------- ------
Total from Investment Activities.... 0.29 (0.25) 0.72 1.10 0.41 1.30
------- ------- ------- ------- ------- ------
Distributions:
Net investment income................. (0.57) (0.29) (0.57) (0.59) (0.58) (0.48)
Net realized gains.................... -- (0.01) (0.03) -- (0.01) (0.24)
In excess of net realized gains....... -- -- -- -- (0.10) --
------- ------- ------- ------- ------- ------
Total Distributions................. (0.57) (0.30) (0.60) (0.59) (0.69) (0.72)
------- ------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.......... $ 12.16 $ 12.44 $ 12.99 $ 12.87 $ 12.36 $12.64
======= ======= ======= ======= ======= ======
Total Return (Excludes Sales Charge).... 2.47% (1.97)%(c) 5.74% 9.13% 3.36% 10.95%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $33,629 $38,253 $47,176 $34,729 $29,352 $7,426
Ratio of expenses to average net
assets.............................. 0.85% 0.87%(d) 0.88% 0.85% 0.83% 0.89%(d)
Ratio of net investment income to
average net assets.................. 4.72% 4.34%(d) 4.36% 4.65% 4.54% 4.57%(d)
Ratio of expenses to average net
assets*............................. 1.00% 0.95%(d) 0.88% 0.85% 0.89% 1.04%(d)
Portfolio turnover (e)................ 44.41% 37.90% 22.05% 32.08% 64.51% 69.31%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Municipal
Bond Fund became the Tax-Free Bond Fund. The Financial Highlights for the
periods prior to March 22, 1999, represent the Pegasus Municipal Bond Fund.
(b) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
125
<PAGE> 128
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
----------------------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------------------
YEAR SIX MONTHS APRIL 4,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)(c)
-------- ---------- ------ ------ ------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $12.44 $12.99 $12.86 $12.36 $12.65 $12.17
------ ------ ------ ------ ------ ------
Investment Activities:
Net investment income.................... 0.49 0.23 0.45 0.46 0.52 0.34
Net realized and unrealized gains
(losses) from investments.............. (0.28) (0.53) 0.18 0.54 (0.21) 0.72
------ ------ ------ ------ ------ ------
Total from Investment Activities....... 0.21 (0.30) 0.63 1.00 0.31 1.06
------ ------ ------ ------ ------ ------
Distributions:
Net investment income...................... (0.49) (0.24) (0.47) (0.50) (0.49) (0.34)
Net realized gains....................... -- (0.01) (0.03) -- (0.01) (0.24)
In excess of net realized gains.......... -- -- -- -- (0.10) --
------ ------ ------ ------ ------ ------
Total Distributions.................... (0.49) (0.25) (0.50) (0.50) (0.60) (0.58)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............. $12.16 $12.44 $12.99 $12.86 $12.36 $12.65
====== ====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)....... 1.80% (2.31)%(d) 4.98% 8.26% 2.56% 8.81%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $3,456 $2,443 $2,142 $1,312 $ 672 $ 238
Ratio of expenses to average net
assets................................. 1.50% 1.57%(e) 1.63% 1.60% 1.58% 1.66%(e)
Ratio of net investment income to average
net assets............................. 4.04% 3.64%(e) 3.61% 3.90% 3.79% 3.61%(e)
Ratio of expenses to average net
assets*................................ 1.66% 1.61%(e) 1.63% 1.60% 1.70% 2.04%(e)
Portfolio turnover (f)................... 44.41% 37.90% 22.05% 32.08% 64.51% 69.31%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Municipal
Bond Fund became the Tax-Free Bond Fund. The Financial Highlights for the
periods prior to March 22, 1999, represent the Pegasus Municipal Bond Fund.
(b) Re-offering date of Class B Shares.
(c) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(d) Not annualized.
(e) Annualized.
(f) Portfolio turnover is calculated on the basis of the Fund as a whole
without distinguishing among the classes of shares issued.
See notes to financial statements.
126
<PAGE> 129
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
--------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................... $ 9.92 $ 10.11 $ 9.84 $ 9.66 $ 9.69
-------- -------- -------- -------- --------
Investment Activities:
Net investment income......................... 0.48 0.50 0.51 0.53 0.56
Net realized and unrealized gains (losses)
from investments........................... (0.46) (0.19) 0.27 0.18 (0.03)
-------- -------- -------- -------- --------
Total from Investment Activities........... 0.02 0.31 0.78 0.71 0.53
-------- -------- -------- -------- --------
Distributions:
Net investment income......................... (0.48) (0.50) (0.51) (0.53) (0.56)
-------- -------- -------- -------- --------
Total Distributions........................ (0.48) (0.50) (0.51) (0.53) (0.56)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.................. $ 9.46 $ 9.92 $ 10.11 $ 9.84 $ 9.66
======== ======== ======== ======== ========
Total Return.................................... 0.32% 3.06% 8.09% 7.49% 5.54%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $857,118 $744,647 $617,885 $408,577 $241,115
Ratio of expenses to average net assets....... 0.57% 0.57% 0.57% 0.57% 0.56%
Ratio of net investment income to average net
assets..................................... 5.07% 4.92% 5.08% 5.38% 5.70%
Ratio of expenses to average net assets*...... 0.67% 0.67% 0.67% 0.68% 0.76%
Portfolio turnover (a)........................ 100.61% 55.03% 69.76% 62.83% 83.17%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
127
<PAGE> 130
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
------------------------------------------------------
CLASS A SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................. $ 9.95 $ 10.14 $ 9.87 $ 9.69 $ 9.72
-------- -------- -------- ------- -------
Investment Activities:
Net investment income........................... 0.46 0.47 0.49 0.51 0.55
Net realized and unrealized gains (losses) from
investments.................................. (0.46) (0.19) 0.27 0.18 (0.04)
-------- -------- -------- ------- -------
Total from Investment Activities............. -- 0.28 0.76 0.69 0.51
-------- -------- -------- ------- -------
Distributions:
Net investment income........................... (0.46) (0.47) (0.49) (0.51) (0.54)
-------- -------- -------- ------- -------
Total Distributions.......................... (0.46) (0.47) (0.49) (0.51) (0.54)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.................... $ 9.49 $ 9.95 $ 10.14 $ 9.87 $ 9.69
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge).............. 0.06% 2.80% 7.84% 7.24% 5.35%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............... $144,335 $188,143 $101,805 $41,829 $25,787
Ratio of expenses to average net assets......... 0.82% 0.82% 0.82% 0.82% 0.81%
Ratio of net investment income to average net
assets....................................... 4.79% 4.62% 4.83% 5.13% 5.45%
Ratio of expenses to average net assets*........ 1.01% 1.01% 1.02% 1.03% 1.11%
Portfolio turnover (a).......................... 100.61% 55.03% 69.76% 62.83% 83.17%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
128
<PAGE> 131
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
---------------------------------------------------
CLASS B SHARES
---------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................ $ 9.91 $ 10.10 $ 9.84 $ 9.66 $ 9.69
------- ------- ------- ------- -------
Investment Activities:
Net investment income.............................. 0.40 0.41 0.42 0.44 0.47
Net realized and unrealized gains (losses) from
investments..................................... (0.46) (0.19) 0.26 0.18 (0.03)
------- ------- ------- ------- -------
Total from Investment Activities................ (0.06) 0.22 0.68 0.62 0.44
------- ------- ------- ------- -------
Distributions:
Net investment income.............................. (0.40) (0.41) (0.42) (0.44) (0.47)
------- ------- ------- ------- -------
Total Distributions............................. (0.40) (0.41) (0.42) (0.44) (0.47)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD....................... $ 9.45 $ 9.91 $ 10.10 $ 9.84 $ 9.66
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)................. (0.58)% 2.14% 7.04% 6.55% 4.65%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $90,118 $97,899 $56,911 $36,258 $23,204
Ratio of expenses to average net assets............ 1.47% 1.47% 1.47% 1.47% 1.46%
Ratio of net investment income to average net
assets.......................................... 4.16% 3.99% 4.18% 4.48% 4.80%
Ratio of expenses to average net assets*........... 1.67% 1.67% 1.67% 1.67% 1.76%
Portfolio turnover (a)............................. 100.61% 55.03% 69.76% 62.83% 83.17%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
129
<PAGE> 132
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
-----------------------------------------
CLASS C SHARES
-----------------------------------------
YEAR YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
JUNE 30, JUNE 30, JUNE 30,
2000 1999 1998 (a)
--------- --------- -----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.91 $ 10.09 $ 9.96
------- ------- ------
Investment Activities:
Net investment income..................................... 0.40 0.41 0.68
Net realized and unrealized gains (losses) from
investments............................................ (0.46) (0.18) 0.13
------- ------- ------
Total from Investment Activities....................... (0.06) 0.23 0.81
------- ------- ------
Distributions:
Net investment income..................................... (0.40) (0.41) (0.68)
------- ------- ------
Total Distributions.................................... (0.40) (0.41) (0.68)
------- ------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.45 $ 9.91 $10.09
======= ======= ======
Total Return (Excludes Sales Charge)........................ (0.59)% 2.24% 8.28%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $17,296 $13,737 $2,216
Ratio of expenses to average net assets................... 1.46% 1.47% 1.47%(c)
Ratio of net investment income to average net assets...... 4.14% 3.93% 4.18%(c)
Ratio of expenses to average net assets*.................. 1.66% 1.66% 1.67%(c)
Portfolio turnover (d).................................... 100.61% 55.03% 69.76%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
130
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
-----------------------------------------------------
CLASS I SHARES
-----------------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
------------------------------------ JUNE 30,
2000 1999 1998 1997 (a)
-------- -------- -------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............................. $ 9.74 $ 10.15 $ 10.06 $ 10.00
-------- -------- -------- --------
Investment Activities:
Net investment income............................ 0.46 0.46 0.49 0.23
Net realized and unrealized gains (losses) from
investments................................... (0.21) (0.26) 0.16 0.06
-------- -------- -------- --------
Total from Investment Activities.............. 0.25 0.20 0.65 0.29
-------- -------- -------- --------
Distributions:
Net investment income............................ (0.46) (0.46) (0.49) (0.23)
Net realized gains............................... (0.07) (0.15) (0.07) --
-------- -------- -------- --------
Total Distributions........................... (0.53) (0.61) (0.56) (0.23)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD..................... $ 9.46 $ 9.74 $ 10.15 $ 10.06
======== ======== ======== ========
Total Return....................................... 2.66% 1.94% 6.58% 2.90%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $195,753 $233,360 $248,590 $255,755
Ratio of expenses to average net assets.......... 0.60% 0.61% 0.59% 0.59%(c)
Ratio of net investment income to average net
assets........................................ 4.82% 4.59% 4.79% 5.09%(c)
Ratio of expenses to average net assets*......... 0.65% 0.67% 0.65% 0.66%(c)
Portfolio turnover (d)........................... 19.28% 16.29% 20.89% 5.66%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
131
<PAGE> 134
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
-----------------------------------------------
CLASS A SHARES
-----------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
------------------------------ JUNE 30,
2000 1999 1998 1997 (a)
------ ------ ------ -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................................... $ 9.67 $10.08 $ 9.99 $10.00
------ ------ ------ ------
Investment Activities:
Net investment income................................... 0.43 0.44 0.46 0.15
Net realized and unrealized gains (losses) from
investments.......................................... (0.21) (0.26) 0.16 (0.01)
------ ------ ------ ------
Total from Investment Activities..................... 0.22 0.18 0.62 0.14
------ ------ ------ ------
Distributions:
Net investment income................................... (0.43) (0.44) (0.46) (0.15)
Net realized gains...................................... (0.07) (0.15) (0.07) --
------ ------ ------ ------
Total Distributions.................................. (0.50) (0.59) (0.53) (0.15)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $ 9.39 $ 9.67 $10.08 $ 9.99
====== ====== ====== ======
Total Return (Excludes Sales Charge)...................... 2.43% 1.69% 6.30% 1.40%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $2,391 $1,799 $1,321 $1,500
Ratio of expenses to average net assets................. 0.86% 0.86% 0.84% 0.85%(c)
Ratio of net investment income to average net assets.... 4.64% 4.37% 4.53% 4.90%(c)
Ratio of expenses to average net assets*................ 1.01% 1.02% 1.01% 0.96%(c)
Portfolio turnover (d).................................. 19.28% 16.29% 20.89% 5.66%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
132
<PAGE> 135
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
----------------------------------------------
CLASS B SHARES
----------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
----------------------------- JUNE 30,
2000 1999 1998 1997 (a)
----- ------ ------ -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................................... $9.75 $10.16 $10.09 $10.00
----- ------ ------ ------
Investment Activities:
Net investment income.................................... 0.37 0.37 0.13 --
Net realized and unrealized gains (losses) from
investments........................................... (0.22) (0.26) 0.14 0.09
----- ------ ------ ------
Total from Investment Activities...................... 0.15 0.11 0.27 0.09
----- ------ ------ ------
Distributions:
Net investment income.................................... (0.37) (0.37) (0.13) --
Net realized gains....................................... (0.07) (0.15) (0.07) --
----- ------ ------ ------
Total Distributions................................... (0.44) (0.52) (0.20) --
----- ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................. $9.46 $ 9.75 $10.16 $10.09
===== ====== ====== ======
Total Return (Excludes Sales Charge)....................... 1.64% 1.04% 2.67% 0.90%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........................ $ 713 $ 640 $ 290 $ --(c)
Ratio of expenses to average net assets.................. 1.50% 1.50% 1.50% --(d)
Ratio of net investment income to average net assets..... 3.93% 3.67% 3.88% --(d)
Ratio of expenses to average net assets*................. 1.66% 1.66% 1.64% --(d)
Portfolio turnover (e)................................... 19.28% 16.29% 20.89% 5.66%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Amount is less than $1,000.
(d) Since net assets are less than $1,000, ratios have not been presented.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
133
<PAGE> 136
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
-------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 10.12 $ 10.40 $ 10.20 $ 10.04 $ 9.92
-------- -------- -------- -------- -------
Investment Activities:
Net investment income.................... 0.49 0.50 0.51 0.50 0.50
Net realized and unrealized gains
(losses) from investments............. (0.22) (0.28) 0.20 0.16 0.12
-------- -------- -------- -------- -------
Total from Investment Activities...... 0.27 0.22 0.71 0.66 0.62
-------- -------- -------- -------- -------
Distributions:
Net investment income.................... (0.49) (0.50) (0.51) (0.50) (0.50)
-------- -------- -------- -------- -------
Total Distributions................... (0.49) (0.50) (0.51) (0.50) (0.50)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD............. $ 9.90 $ 10.12 $ 10.40 $ 10.20 $ 10.04
======== ======== ======== ======== =======
Total Return............................... 2.83% 2.05% 7.11% 6.74% 6.35%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $124,778 $122,917 $122,220 $116,830 $30,300
Ratio of expenses to average net
assets................................ 0.61% 0.61% 0.60% 0.59% 0.68%
Ratio of net investment income to average
net assets............................ 5.00% 4.77% 4.94% 5.12% 4.60%
Ratio of expenses to average net
assets*............................... 0.69% 0.71% 0.69% 0.72% 1.02%
Portfolio turnover (a)................... 21.82% 6.30% 5.81% 13.30% 16.78%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
134
<PAGE> 137
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
-----------------------------------------------
CLASS A SHARES
-----------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------
2000 1999 1998 1997 1996
------ ------- ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $10.13 $ 10.41 $10.21 $10.05 $ 9.93
------ ------- ------ ------ ------
Investment Activities:
Net investment income............................ 0.47 0.47 0.49 0.48 0.44
Net realized and unrealized gains (losses) from
investments................................... (0.23) (0.28) 0.20 0.16 0.12
------ ------- ------ ------ ------
Total from Investment Activities.............. 0.24 0.19 0.69 0.64 0.56
------ ------- ------ ------ ------
Distributions:
Net investment income............................ (0.47) (0.47) (0.49) (0.48) (0.44)
------ ------- ------ ------ ------
Total Distributions........................... (0.47) (0.47) (0.49) (0.48) (0.44)
------ ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD..................... $ 9.90 $ 10.13 $10.41 $10.21 $10.05
====== ======= ====== ====== ======
Total Return (Excludes Sales Charge)............... 2.47% 1.79% 6.86% 6.46% 5.70%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $8,230 $10,075 $7,899 $5,554 $8,178
Ratio of expenses to average net assets.......... 0.86% 0.86% 0.85% 0.84% 0.93%
Ratio of net investment income to average net
assets........................................ 4.74% 4.50% 4.69% 4.66% 4.35%
Ratio of expenses to average net assets*......... 1.04% 1.06% 1.04% 1.04% 1.37%
Portfolio turnover (a)........................... 21.82% 6.30% 5.81% 13.30% 16.78%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
135
<PAGE> 138
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
------------------------------------------------
CLASS B SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 10.06 $ 10.35 $10.15 $ 9.99 $ 9.87
------- ------- ------ ------ ------
Investment Activities:
Net investment income........................... 0.41 0.40 0.42 0.41 0.38
Net realized and unrealized gains (losses) from
investments.................................. (0.22) (0.29) 0.20 0.16 0.13
------- ------- ------ ------ ------
Total from Investment Activities............. 0.19 0.11 0.62 0.57 0.51
------- ------- ------ ------ ------
Distributions:
Net investment income........................... (0.41) (0.40) (0.42) (0.41) (0.39)
------- ------- ------ ------ ------
Total Distributions.......................... (0.41) (0.40) (0.42) (0.41) (0.39)
------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD.................... $ 9.84 $ 10.06 $10.35 $10.15 $ 9.99
======= ======= ====== ====== ======
Total Return (Excludes Sales Charge).............. 1.93% 1.05% 6.20% 5.81% 5.16%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............... $13,250 $15,135 $5,581 $2,399 $1,457
Ratio of expenses to average net assets......... 1.51% 1.51% 1.51% 1.47% 1.58%
Ratio of net investment income to average net
assets....................................... 4.12% 3.85% 4.04% 4.05% 3.70%
Ratio of expenses to average net assets*........ 1.69% 1.71% 1.70% 1.70% 2.02%
Portfolio turnover (a).......................... 21.82% 6.30% 5.81% 13.30% 16.78%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
136
<PAGE> 139
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
-------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------
MARCH 26,
YEAR ENDED JUNE 30, 1996 TO
------------------------------------------ JUNE 30,
2000 1999 1998 1997 1996 (a)
------- -------- ------- -------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 9.96 $ 10.26 $ 10.10 $ 9.93 $ 10.00
------- -------- ------- -------- --------
Investment Activities:
Net investment income................ 0.48 0.48 0.50 0.49 0.13
Net realized and unrealized gains
(losses) from investments......... (0.21) (0.28) 0.16 0.17 (0.07)
------- -------- ------- -------- --------
Total from Investment
Activities...................... 0.27 0.20 0.66 0.66 0.06
------- -------- ------- -------- --------
Distributions:
Net investment income................ (0.48) (0.48) (0.50) (0.49) (0.13)
Net realized gains................... (0.01) (0.02) -- -- --
------- -------- ------- -------- --------
Total Distributions............... (0.49) (0.50) (0.50) (0.49) (0.13)
------- -------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD......... $ 9.74 $ 9.96 $ 10.26 $ 10.10 $ 9.93
======= ======== ======= ======== ========
Total Return........................... 2.81% 1.92% 6.62% 6.81% 0.90%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $80,167 $106,294 $92,690 $113,338 $136,041
Ratio of expenses to average net
assets............................ 0.61% 0.61% 0.60% 0.62% 0.71%(d)
Ratio of net investment income to
average net assets................ 4.92% 4.66% 4.85% 4.91% 4.76%(d)
Ratio of expenses to average net
assets*........................... 0.83% 0.85% 0.83% 0.84% 0.86%(d)
Portfolio turnover (e)............... 17.27% 19.67% 12.03% 17.39% 16.72%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from date reorganized as a fund of One Group Mutual Funds.
(b) Not annualized.
(c) Represents total return for Class A Shares from December 1, 1995, through
March 25, 1996, plus total return for Class I Shares for the period March
26, 1996, through June 30, 1996.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
137
<PAGE> 140
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
------------------------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
---------------------------------------------- JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
------- ------- ------- ------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................ $ 9.96 $ 10.26 $ 10.10 $ 9.93 $ 10.09 $ 9.38
------- ------- ------- ------- ------- --------
Investment Activities:
Net investment income.............. 0.46 0.45 0.47 0.47 0.24 0.50
Net realized and unrealized gains
(losses) from investments........ (0.21) (0.28) 0.16 0.17 (0.16) 0.71
------- ------- ------- ------- ------- --------
Total from Investment
Activities.................... 0.25 0.17 0.63 0.64 0.08 1.21
------- ------- ------- ------- ------- --------
Distributions:
Net investment income.............. (0.46) (0.45) (0.47) (0.47) (0.24) (0.50)
Net realized gains................. (0.01) (0.02) -- -- -- --
------- ------- ------- ------- ------- --------
Total Distributions.............. (0.47) (0.47) (0.47) (0.47) (0.24) (0.50)
------- ------- ------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD....... $ 9.74 $ 9.96 $ 10.26 $ 10.10 $ 9.93 $ 10.09
======= ======= ======= ======= ======= ========
Total Return (Excludes Sales
Charge)............................ 2.55% 1.67% 6.35% 6.55% 0.84%(b) 13.11%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $58,225 $75,958 $47,078 $48,498 $53,479 $206,119
Ratio of expenses to average
net assets....................... 0.86% 0.86% 0.85% 0.87% 0.69%(c) 0.62%
Ratio of net investment income to
average net assets............... 4.67% 4.40% 4.60% 4.66% 4.71%(c) 5.07%
Ratio of expenses to average net
assets*.......................... 1.18% 1.20% 1.18% 1.19% 0.86%(c) 0.77%
Portfolio turnover (d)............. 17.27% 19.67% 12.03% 17.39% 16.72% 28.00%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Paragon Louisiana
Tax-Free Fund became the Louisiana Municipal Bond Fund. The Financial
Highlights for the periods prior to March 26, 1996, represents the Paragon
Louisiana Tax-Free Fund. The per share data for the periods prior to March
26, 1996, have been restated to reflect the impact of restatement of net
asset value from $10.67 to $10.00 effective March 26, 1996.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
138
<PAGE> 141
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
---------------------------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
------------------------------------------- JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
------ ------- ------ ------ -------------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............... $ 9.97 $ 10.26 $10.10 $ 9.93 $10.09 $ 9.36
------ ------- ------ ------ ------ ------
Investment Activities:
Net investment income............. 0.39 0.39 0.41 0.40 0.21 0.42
Net realized and unrealized gains
(losses) from investments....... (0.21) (0.27) 0.16 0.17 (0.16) 0.73
------ ------- ------ ------ ------ ------
Total from Investment
Activities................... 0.18 0.12 0.57 0.57 0.05 1.15
------ ------- ------ ------ ------ ------
Distributions:
Net investment income............. (0.39) (0.39) (0.41) (0.40) (0.21) (0.42)
Net realized gains................ (0.01) (0.02) -- -- -- --
------ ------- ------ ------ ------ ------
Total Distributions............. (0.40) (0.41) (0.41) (0.40) (0.21) (0.42)
------ ------- ------ ------ ------ ------
NET ASSET VALUE,
END OF PERIOD..................... $ 9.75 $ 9.97 $10.26 $10.10 $ 9.93 $10.09
====== ======= ====== ====== ====== ======
Total Return (Excludes Sales
Charge)........................... 1.89% 1.11% 5.69% 5.87% 0.48%(b) 12.52%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $9,881 $10,866 $5,474 $3,835 $3,223 $2,115
Ratio of expenses to average
net assets...................... 1.51% 1.51% 1.50% 1.51% 1.50%(c) 1.37%
Ratio of net investment income to
average net assets.............. 4.02% 3.74% 3.95% 4.02% 3.98%(c) 4.27%
Ratio of expenses to average net
assets*......................... 1.83% 1.85% 1.83% 1.85% 1.70%(c) 1.52%
Portfolio turnover (d)............ 17.27% 19.67% 12.03% 17.39% 16.72% 28.00%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Paragon Louisiana
Tax-Free Fund became the Louisiana Municipal Bond Fund. The Financial
Highlights for the periods prior to March 26, 1996, represents the Paragon
Louisiana Tax-Free Fund. The per share data for the periods prior to March
26, 1996, have been restated to reflect the impact of restatement of net
asset value from $10.70 to $10.00 effective March 26, 1996.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
139
<PAGE> 142
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, -----------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ----------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................. $ 10.62 $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income............... 0.51 0.25 0.50 0.51 0.49 0.48
Net realized and unrealized gains
(losses) from investments......... (0.38) (0.41) 0.13 0.45 (0.14) 1.06
-------- -------- -------- ------- ------- -------
Total from Investment
Activities..................... 0.13 (0.16) 0.63 0.96 0.35 1.54
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income............... (0.51) (0.25) (0.51) (0.51) (0.47) (0.48)
Net realized gains.................. (0.02) -- (0.02) -- -- --
-------- -------- -------- ------- ------- -------
Total Distributions............... (0.53) (0.25) (0.53) (0.51) (0.47) (0.48)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD....................... $ 10.22 $ 10.62 $ 11.03 $ 10.93 $ 10.48 $ 10.60
======== ======== ======== ======= ======= =======
Total Return.......................... 1.28% (1.46)%(b) 5.94% 9.42% 3.44% 16.49%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $233,913 $309,445 $298,842 $61,768 $41,909 $32,419
Ratio of expenses to average net
assets............................ 0.61% 0.66%(c) 0.66% 0.67% 0.77% 0.79%
Ratio of net investment income to
average net assets................ 4.94% 4.60%(c) 4.52% 4.84% 4.68% 4.71%
Ratio of expenses to average net
assets*........................... 0.67% 0.69%(c) 0.67% 0.73% 0.85% 1.04%
Portfolio turnover (d).............. 33.34% 10.60% 23.33% 37.84% 24.49% 26.97%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Bond Fund became the Michigan Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Michigan Municipal Bond Fund.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
140
<PAGE> 143
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
----------------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, ----------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................... $ 10.63 $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income................. 0.48 0.24 0.47 0.49 0.48 0.48
Net realized and unrealized gains
(losses) from investments........... (0.39) (0.40) 0.13 0.44 (0.14) 1.06
------- ------- ------- ------- ------- -------
Total from Investment Activities.... 0.09 (0.16) 0.60 0.93 0.34 1.54
------- ------- ------- ------- ------- -------
Distributions:
Net investment income................. (0.48) (0.24) (0.48) (0.48) (0.46) (0.48)
Net realized gains.................... (0.02) -- (0.02) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions................. (0.50) (0.24) (0.50) (0.48) (0.46) (0.48)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.......... $ 10.22 $ 10.63 $ 11.03 $ 10.93 $ 10.48 $ 10.60
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge).... 0.93% (1.47)%(b) 5.61% 9.15% 3.32% 16.49%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $30,626 $22,217 $22,876 $18,687 $18,575 $21,034
Ratio of expenses to average net
assets.............................. 0.86% 0.88%(c) 0.91% 0.92% 0.88% 0.79%
Ratio of net investment income to
average net assets.................. 4.72% 4.35%(c) 4.27% 4.59% 4.57% 4.71%
Ratio of expenses to average net
assets*............................. 1.02% 0.96%(c) 0.92% 0.98% 0.96% 1.04%
Portfolio turnover (d)................ 33.34% 10.60% 23.33% 37.84% 24.49% 26.97%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Bond Fund became the Michigan Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Michigan Municipal Bond Fund.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
141
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
--------------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------------
YEAR SIX MONTHS YEAR ENDED SEPTEMBER 23,
ENDED ENDED DECEMBER 31, 1996 TO
JUNE 30, JUNE 30, ------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
--------- ---------- ------ ------ -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 10.28 $10.68 $10.59 $10.18 $10.00
------- ------ ------ ------ ------
Investment Activities:
Net investment income..................... 0.42 0.20 0.39 0.38 0.07
Net realized and unrealized gains (losses)
from investments....................... (0.37) (0.40) 0.12 0.44 0.17
------- ------ ------ ------ ------
Total from Investment Activities....... 0.05 (0.20) 0.51 0.82 0.24
------- ------ ------ ------ ------
Distributions:
Net investment income..................... (0.42) (0.20) (0.40) (0.41) (0.06)
Net realized gains........................ (0.02) -- (0.02) -- --
------- ------ ------ ------ ------
Total Distributions.................... (0.44) (0.20) (0.42) (0.41) (0.06)
------- ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD.............. $ 9.89 $10.28 $10.68 $10.59 $10.18
======= ====== ====== ====== ======
Total Return (Excludes Sales Charge)........ 0.51% (1.86)%(c) 4.92% 8.26% 2.45%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $10,106 $6,771 $1,940 $ 707 $ 110
Ratio of expenses to average net assets... 1.52% 1.59%(d) 1.66% 1.67% 1.69%(d)
Ratio of net investment income to average
net assets............................. 4.21% 3.64%(d) 3.52% 3.84% 2.01%(d)
Ratio of expenses to average net
assets*................................ 1.69% 1.70%(d) 1.67% 1.73% 1.77%(d)
Portfolio turnover (e).................... 33.34% 10.60% 23.33% 37.84% 24.49%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Bond Fund became the Michigan Municipal Bond Fund. The Financial
Highlights for the periods prior to March 22, 1999, represent the Pegasus
Michigan Municipal Bond Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
142
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
---------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 10.75 $ 11.08 $ 10.88 $ 10.69 $ 10.65
-------- -------- -------- -------- -------
Investment Activities:
Net investment income..................... 0.53 0.54 0.56 0.56 0.56
Net realized and unrealized gains (losses)
from investments....................... (0.31) (0.33) 0.20 0.19 0.04
-------- -------- -------- -------- -------
Total from Investment Activities....... 0.22 0.21 0.76 0.75 0.60
-------- -------- -------- -------- -------
Distributions:
Net investment income..................... (0.53) (0.54) (0.56) (0.56) (0.56)
-------- -------- -------- -------- -------
Total Distributions.................... (0.53) (0.54) (0.56) (0.56) (0.56)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 10.44 $ 10.75 $ 11.08 $ 10.88 $ 10.69
======== ======== ======== ======== =======
Total Return................................ 2.20% 1.84% 7.13% 7.22% 5.69%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $126,362 $160,493 $149,890 $133,172 $80,611
Ratio of expenses to average net assets... 0.60% 0.56% 0.54% 0.54% 0.57%
Ratio of net investment income to average
net assets............................. 5.10% 4.86% 5.09% 5.24% 5.17%
Ratio of expenses to average net
assets*................................ 0.83% 0.83% 0.83% 0.84% 0.95%
Portfolio turnover (a).................... 35.46% 13.69% 10.49% 7.45% 24.61%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
143
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
---------------------------------------------------
CLASS A SHARES
---------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 10.78 $ 11.11 $ 10.91 $ 10.72 $ 10.68
------- ------- ------- ------- -------
Investment Activities:
Net investment income........................ 0.51 0.51 0.54 0.54 0.55
Net realized and unrealized gains (losses)
from investments.......................... (0.31) (0.33) 0.20 0.19 0.03
------- ------- ------- ------- -------
Total from Investment Activities.......... 0.20 0.18 0.74 0.73 0.58
------- ------- ------- ------- -------
Distributions:
Net investment income........................ (0.51) (0.51) (0.54) (0.54) (0.54)
------- ------- ------- ------- -------
Total Distributions....................... (0.51) (0.51) (0.54) (0.54) (0.54)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................. $ 10.47 $ 10.78 $ 11.11 $ 10.91 $ 10.72
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)........... 1.94% 1.59% 6.87% 6.95% 5.44%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $32,307 $26,876 $17,297 $16,114 $16,507
Ratio of expenses to average net assets...... 0.85% 0.81% 0.79% 0.79% 0.82%
Ratio of net investment income to average net
assets.................................... 4.84% 4.57% 4.83% 4.96% 4.92%
Ratio of expenses to average net assets*..... 1.18% 1.18% 1.18% 1.19% 1.30%
Portfolio turnover (a)....................... 35.46% 13.69% 10.49% 7.45% 24.61%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
144
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
--------------------------------------------------
CLASS B SHARES
--------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 10.86 $ 11.18 $ 10.98 $ 10.79 $10.75
------- ------- ------- ------- ------
Investment Activities:
Net investment income......................... 0.44 0.44 0.47 0.47 0.48
Net realized and unrealized gains (losses)
from investments........................... (0.32) (0.32) 0.20 0.19 0.03
------- ------- ------- ------- ------
Total from Investment Activities........... 0.12 0.12 0.67 0.66 0.51
------- ------- ------- ------- ------
Distributions:
Net investment income......................... (0.44) (0.44) (0.47) (0.47) (0.47)
------- ------- ------- ------- ------
Total Distributions........................ (0.44) (0.44) (0.47) (0.47) (0.47)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.................. $ 10.54 $ 10.86 $ 11.18 $ 10.98 $10.79
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)............ 1.17% 1.01% 6.20% 6.26% 4.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $40,605 $49,703 $26,138 $14,316 $8,854
Ratio of expenses to average net assets....... 1.50% 1.46% 1.44% 1.44% 1.47%
Ratio of net investment income to average
net assets................................. 4.15% 3.89% 4.19% 4.33% 4.27%
Ratio of expenses to average net assets*...... 1.83% 1.83% 1.83% 1.84% 1.95%
Portfolio turnover (a)........................ 35.46% 13.69% 10.49% 7.45% 24.61%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
145
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
---------------------------------------------------
CLASS I SHARES
---------------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
---------------------------------- JUNE 30,
2000 1999 1998 1997 (a)
------- ------- -------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 9.96 $ 10.28 $ 10.06 $ 10.00
------- ------- -------- -------
Investment Activities:
Net investment income.............................. 0.49 0.49 0.50 0.22
Net realized and unrealized gains (losses) from
investments..................................... (0.23) (0.31) 0.22 0.06
------- ------- -------- -------
Total from Investment Activities................ 0.26 0.18 0.72 0.28
------- ------- -------- -------
Distributions:
Net investment income.............................. (0.49) (0.49) (0.50) (0.22)
Net realized gains................................. --(b) (0.01) -- --
------- ------- -------- -------
Total Distributions............................. (0.49) (0.50) (0.50) (0.22)
------- ------- -------- -------
NET ASSET VALUE, END OF PERIOD....................... $ 9.73 $ 9.96 $ 10.28 $ 10.06
======= ======= ======== =======
Total Return......................................... 2.76% 1.71% 7.36% 2.84%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $91,975 $98,391 $102,413 $96,270
Ratio of expenses to average net assets............ 0.61% 0.61% 0.60% 0.59%(d)
Ratio of net investment income to average net
assets.......................................... 5.03% 4.74% 4.93% 5.04%(d)
Ratio of expenses to average net assets*........... 0.68% 0.71% 0.72% 0.67%(d)
Portfolio turnover (e)............................. 24.67% 15.24% 16.69% 6.21%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .01.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
146
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
-----------------------------------------------
CLASS A SHARES
-----------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
------------------------------ JUNE 30,
2000 1999 1998 1997 (a)
------ ------ ------ -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $10.03 $10.36 $10.15 $10.00
------ ------ ------ ------
Investment Activities:
Net investment income.................................. 0.46 0.47 0.48 0.16
Net realized and unrealized gains (losses) from
investments......................................... (0.22) (0.32) 0.21 0.15
------ ------ ------ ------
Total from Investment Activities.................... 0.24 0.15 0.69 0.31
------ ------ ------ ------
Distributions:
Net investment income.................................. (0.46) (0.47) (0.48) (0.16)
Net realized gains..................................... --(b) (0.01) -- --
------ ------ ------ ------
Total Distributions................................. (0.46) (0.48) (0.48) (0.16)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD........................... $ 9.81 $10.03 $10.36 $10.15
====== ====== ====== ======
Total Return (Excludes Sales Charge)..................... 2.59% 1.37% 6.98% 3.08%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $3,677 $3,570 $2,024 $ 808
Ratio of expenses to average net assets................ 0.86% 0.85% 0.85% 0.84%(d)
Ratio of net investment income to average net assets... 4.74% 4.42% 4.68% 4.94%(d)
Ratio of expenses to average net assets*............... 1.03% 1.05% 1.07% 0.97%(d)
Portfolio turnover (e)................................. 24.67% 15.24% 16.69% 6.21%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .01.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
147
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
-----------------------------------------------
CLASS B SHARES
-----------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
------------------------------ JUNE 30,
2000 1999 1998 1997 (a)
------ ------ ------ -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $10.03 $10.35 $10.12 $10.00
------ ------ ------ ------
Investment Activities:
Net investment income................................... 0.40 0.40 0.42 0.14
Net realized and unrealized gains (losses) from
investments.......................................... (0.23) (0.31) 0.23 0.12
------ ------ ------ ------
Total from Investment Activities..................... 0.17 0.09 0.65 0.26
------ ------ ------ ------
Distributions:
Net investment income................................... (0.40) (0.40) (0.42) (0.14)
Net realized gains...................................... --(b) (0.01) -- --
------ ------ ------ ------
Total Distributions.................................. (0.40) (0.41) (0.42) (0.14)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $ 9.80 $10.03 $10.35 $10.12
====== ====== ====== ======
Total Return (Excludes Sales Charge)...................... 1.82% 0.80% 6.57% 2.64%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $6,772 $7,505 $3,352 $ 614
Ratio of expenses to average net assets................. 1.51% 1.50% 1.50% 1.49%(d)
Ratio of net investment income to average net assets.... 4.09% 3.79% 4.05% 4.08%(d)
Ratio of expenses to average net assets*................ 1.68% 1.71% 1.72% 1.62%(d)
Portfolio turnover (e).................................. 24.67% 15.24% 16.69% 6.21%
</TABLE>
------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .01.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
148
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--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000
1. ORGANIZATION:
The One Group Mutual Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end investment
company established as a Massachusetts business trust. The accompanying
financial statements and financial highlights are those of the Short-Term
Municipal Bond Fund, Intermediate Tax-Free Bond Fund, Tax-Free Bond Fund,
Municipal Income Fund, Arizona Municipal Bond Fund, Kentucky Municipal Bond
Fund, Louisiana Municipal Bond Fund, Michigan Municipal Bond Fund, Ohio
Municipal Bond Fund and West Virginia Municipal Bond Fund, (individually a
"Fund", collectively the "Funds") only. Each Fund is a non-diversified mutual
fund, except for Short-Term Municipal Bond Fund, Intermediate Tax-Free Bond
Fund, Tax-Free Bond Fund and Municipal Income Fund, which are diversified.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
SECURITY VALUATION
Debt securities (other than short-term investments maturing in 60 days or
less), including municipal securities, are valued on the basis of
valuations provided by dealers or by an independent pricing service
approved by the Board of Trustees. Short-term investments maturing in 60
days or less are valued at amortized cost, which approximates market value.
Futures contracts are valued at the settlement price established each day
by the board of trade or an exchange on which they are traded. Options
traded on an exchange are valued using the last sale price or, in the
absence of a sale, the mean of the latest bid and ask prices. Options
traded over-the-counter are valued using dealer-supplied valuations.
Investments for which there are no such quotations or valuations are valued
at fair value as determined in good faith by the Pricing Committee, which
is comprised of members from One Group Administrative Services ("OGA"), an
affiliate of Banc One Investment Advisors Corporation (the "Advisor") and
the One Group Services Company (the "Administrator"), under the direction
of the Board of Trustees.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that are
deemed by the Advisor to be of good standing and creditworthy under
guidelines established by the Board of Trustees. Each repurchase agreement
is recorded at cost. The Fund requires that the securities purchased in a
repurchase agreement transaction be transferred to the custodian in a
manner sufficient to enable the Fund to obtain those securities in the
event of a counterparty default. The seller, under the repurchase
agreement, is required to maintain the value of the securities held at not
less than the repurchase price, including accrued interest. Repurchase
agreements are considered to be loans by a fund under the 1940 Act.
FUTURES CONTRACTS
The Funds may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or for the change in the
value of a specified financial index over a predetermined time period. Cash
or securities are deposited with brokers in order to maintain a position.
Subsequent payments made or received by the Fund based on the daily change
in the market value of the position are recorded as unrealized appreciation
or depreciation until the contract is closed out, at which time the
appreciation or depreciation is realized.
Continued
149
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
FINANCIAL INSTRUMENTS
Investing in financial instruments such as written options, futures,
structured notes and indexed securities involves risks in excess of the
amounts reflected in the Statements of Assets and Liabilities. The face or
contract amounts reflect the extent of the involvement the Funds have in
the particular class of instrument.
Risks associated with these instruments include an imperfect correlation
between the movements in the price of the instruments and the price of the
underlying securities and interest rates, an illiquid secondary market for
the instruments or inability of counterparties to perform under the terms
of the contract. The Funds enter into these contracts primarily as a means
to hedge against adverse fluctuation in securities.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses from sales of securities are determined on the specific
identification cost method. Net investment income and expenses are
recognized on the accrual basis. Dividends are recorded on the ex-dividend
date. Interest income includes premium amortization and discount accretion
for both financial reporting and tax purposes. Amortization and accretion
are calculated using the effective interest method.
EXPENSES
Expenses directly attributable to a Fund are charged directly to that Fund,
while the expenses which are attributable to more than one Fund of the
Trust, are allocated among the respective Funds. Each class of shares bears
its pro-rata portion of expenses attributable to its series, except that
each class separately bears expenses related specifically to that class,
such as distribution fees.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly
for the Funds. Net realized capital gains, if any, are distributed at least
annually. Dividends are declared separately for each class. No class has
preferential dividend rights; differences in per share dividend rates are
due to differences in separate class expenses.
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations, which may differ from
generally accepted accounting principles. These differences are primarily
due to differing treatments for expiring capital loss carryforwards and
deferrals of certain losses. Permanent book and tax basis differences have
been reclassified among the components of net assets. Certain funds may
utilize earnings and profits distributed to shareholders on redemption of
shares as part of the dividends paid deduction for income tax purposes.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions from net investment income and net realized capital gains
sufficient to relieve it from all, or substantially all, federal income
taxes.
DEFERRED ORGANIZATION COSTS
Prior to June 30, 1998, costs incurred by the Trust in connection with its
organization, including the fees and expenses of registering and qualifying
its shares for distribution were deferred and are being amortized using the
straight-line method over a period of five years beginning with the
commencement of each Fund's operations. All such costs, which are
attributable to more than one Fund of the Trust, have been allocated among
Continued
150
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
the respective Fund's pro-rata, based on the relative net assets of each
Fund. In the event that any of the initial shares are redeemed during such
period by any holder thereof, the related fund will be reimbursed by such
holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-four series and six classes of shares: Class I, Class A, Class B, Class
C, Class S and Service Class. Currently, the Trust consists of forty-nine
active funds. The Funds are each authorized to issue Class I, Class A, Class
B and Class C shares. Class A shares are subject to initial sales charges,
imposed at the time of purchase, in accordance with the Funds' prospectus.
Certain redemptions of Class B and Class C shares are subject to contingent
deferred sales charges in accordance with the Funds' prospectus. As of June
30, 2000, there were no shareholders in Class C of the Funds except for the
Municipal Income Fund. Shareholders are entitled to one vote for each full
share held and vote in the aggregate and not by class or series, except as
otherwise expressly required by law or when the Board of Trustees has
determined that the matter to be voted on affects only the interest of
shareholders of a particular class or series. See Schedules of Capital Stock
Activity.
4. INVESTMENT ADVISORY, ADMINISTRATION, AND DISTRIBUTION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
under which the Advisor is entitled to receive an annual fee, computed daily
and paid monthly, equal to the following percentages of the Funds' average
daily net assets: 0.60% of the Short-Term Municipal Bond Fund, the
Intermediate Tax-Free Bond Fund, the Louisiana Municipal Bond Fund and the
Ohio Municipal Bond Fund; 0.45% of the Tax-Free Bond Fund, the Municipal
Income Fund, the Arizona Municipal Bond Fund, the Kentucky Municipal Bond
Fund, the Michigan Municipal Bond Fund and the West Virginia Municipal Bond
Fund.
The Trust and the Administrator, a wholly-owned subsidiary of The BISYS
Group, Inc., are parties to an administration agreement under which the
Administrator provides services for a fee that is computed daily and paid
monthly, at an annual rate of 0.20% on the first $1.5 billion of Trust net
assets (excluding the Investor Conservative Growth Fund, the Investor
Balanced Fund, the Investor Growth & Income Fund, and the Investor Growth
Fund, (the "Investor Funds") and the Institutional Prime Money Market Fund,
the Treasury Only Money Market Fund, and the Government Money Market Fund,
(the "Institutional Money Market Funds")); 0.18% on the next $0.5 billion of
Trust net assets (excluding the Investor Funds and the Institutional Money
Market Funds); and 0.16% of Trust net assets (excluding the Investor Funds
and the Institutional Money Market Funds) over $2 billion. OGA also serves as
Sub-Administrator to each fund of the Trust, pursuant to an agreement between
the Administrator and OGA. Pursuant to this agreement, OGA performs many of
the Administrator's duties, for which OGA receives a fee paid by the
Administrator.
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A, Class B and Class C shares are subject to
distribution and shareholder services plans (the "Plans") pursuant to Rule
12b-1 under the 1940 Act. As provided in the Plans, the Trust will pay the
Distributor a fee of 0.35% of the average daily net assets of Class A shares
of each of the Funds and 1.00% of the average daily net assets of the Class B
and Class C shares of each of the Funds. Currently, the Distributor has
voluntarily agreed to limit payments under the Plans to 0.25%, 0.90% and
0.90% of average daily net assets of the Class A, Class B and Class C shares,
respectively, of each Fund. Up to 0.25% of the fees payable under the Plans
may be used as compensation for shareholder services by the Distributor
and/or financial institutions and intermediaries. Fees paid under the Plans
may be applied by the Distributor toward (i) compensation for its services in
connection with distribution assistance or provision of shareholder
Continued
151
<PAGE> 154
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
services; or (ii) payments to financial institutions and intermediaries such
as banks (including affiliates of the Advisor), brokers, dealers and other
institutions, including the Distributor's affiliates and subsidiaries as
compensation for services or reimbursement of expenses incurred in connection
with distribution assistance or provision of shareholder services. Class I
shares of each Fund are offered without distribution fees. For the year ended
June 30, 2000, the Distributor received $494,155 from commissions earned on
sales of Class A shares and redemptions of Class B and Class C shares, of
which the Distributor reallowed $105,899 to affiliated broker/dealers of the
Funds.
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
The Advisor, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the year ended June 30, 2000, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT DISTRIBUTION FEES WAIVED
ADVISORY FEES ADMINISTRATION -----------------------------
FUND WAIVED FEES WAIVED CLASS A CLASS B CLASS C
---- ------------- -------------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Short-Term Municipal Bond Fund......... $ 389 $15 $ 3 $ 1 $--
Intermediate Tax-Free Bond Fund........ 1,909 34 34 8 --
Tax-Free Bond Fund..................... 367 84 36 3 --
Municipal Income Fund.................. 1,076 -- 170 96 16
Arizona Municipal Bond Fund............ 109 11 2 1 --
Kentucky Municipal Bond Fund........... 108 4 9 14 --
Louisiana Municipal Bond Fund.......... 366 16 67 10 --
Michigan Municipal Bond Fund........... 148 34 29 9 --
Ohio Municipal Bond Fund............... 505 -- 29 45 --
West Virginia Municipal Bond Fund...... 70 5 3 7 --
</TABLE>
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities) during the year ended June 30, 2000 were as
follows (amounts in thousands):
<TABLE>
<CAPTION>
FUND PURCHASES SALES
---- ---------- ----------
<S> <C> <C>
Short-Term Municipal Bond Fund.............................. $ 134,096 $ 170,889
Intermediate Tax-Free Bond Fund............................. 749,454 1,065,733
Tax-Free Bond Fund.......................................... 308,747 435,011
Municipal Income Fund....................................... 1,076,651 994,862
Arizona Municipal Bond Fund................................. 41,303 71,646
Kentucky Municipal Bond Fund................................ 30,282 33,009
Louisiana Municipal Bond Fund............................... 29,268 71,461
Michigan Municipal Bond Fund................................ 94,829 142,784
Ohio Municipal Bond Fund.................................... 74,695 102,669
West Virginia Municipal Bond Fund........................... 24,319 30,229
</TABLE>
6. LINE OF CREDIT:
The Trust and State Street Bank and Trust Company ("State Street") and a
group of banks (collectively, the "Banks") entered into a financing agreement
dated October 19, 1999. Under this agreement, the Banks provide an unsecured
committed credit facility in the aggregate amount of $500 million. The credit
facility is allocated, under the terms of the financing agreement, among the
Banks. Advances under the agreement are taken primarily for temporary or
emergency purposes, including the meeting of redemption requests that
otherwise
Continued
152
<PAGE> 155
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
might require the untimely disposition of securities, and are subject to each
Fund's borrowing restrictions. Interest on borrowings is payable at the
Federal Funds Rate plus 0.50% on an annualized basis. Interest on borrowings
during the period from and including December 15, 1999 to January 17, 2000,
was payable at 0.50% plus the higher of the Fed Funds Effective Rate plus
0.50% or the Fed Funds Target Rate plus 1.50%. A commitment fee of 0.10% per
annum will be incurred on the unused portion of the committed facility, which
is allocated to all funds of the Trust.
During the year ended June 30, 2000, there were no borrowings by the Funds
under the Agreement.
7. DEFERRED COMPENSATION PLAN:
Independent Trustees of the Funds may participate in a Deferred Compensation
Plan in which they may defer any or all compensation related to performance
of their duties as a Trustee. All deferred compensation is paid by the Funds
and invested into various One Group funds elected by each Trustee. The Plan
is fully funded and therefore, the Funds bear no additional trustee expense
over and above the normal cash compensation.
8. CONCENTRATION OF CREDIT RISK:
The Arizona, Kentucky, Louisiana, Michigan, Ohio and West Virginia Municipal
Bond Funds invest primarily in debt obligations issued by the respective
States and their political subdivisions, agencies and public authorities to
obtain funds for various public purposes. The Funds are more susceptible to
economic and political factors adversely affecting issuers of the State's
specific municipal securities than are municipal bond funds that are not
concentrated in these issuers to the same extent.
9. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by First Chicago NBD
Investment Management Company (an affiliate of the Advisor) were exchanged in
a tax-free conversion for Class I shares of the corresponding Funds. The
transactions were accounted for by a method followed for tax purposes in a
tax-free business combination. The following is a summary of dates, shares
issued, net assets converted, net asset value per share issued and unrealized
appreciation of assets acquired as of the conversion date (amounts in
thousands except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- --------- ------------
<S> <C> <C> <C> <C>
JUNE 5, 1998
Tax-Free Bond Fund.................................. 1,695 $ 21,792 $12.86 $ 1,386
AUGUST 21, 1998
Short-Term Municipal Bond Fund...................... 9,463 95,766 10.12 1,053
Tax-Free Bond Fund.................................. 33,107 427,412 12.91 23,196
Michigan Municipal Bond Fund........................ 18,876 207,445 10.99 10,379
</TABLE>
The net assets of certain common trust funds managed by the Advisor were
exchanged in a tax-free conversion for Class I shares of the corresponding
One Group Fund. The transaction was accounted for by a method followed for
tax purposes in a tax-free business combination. The following is a summary
of shares issued, net
Continued
153
<PAGE> 156
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
assets converted, net assets value per share issued and unrealized
appreciation of assets acquired as of the conversion date (amounts in
thousands except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- --------- ------------
<S> <C> <C> <C> <C>
FEBRUARY 21, 1999
Intermediate Tax-Free Bond Fund................... 4,541 $50,518 $11.13 $1,888
</TABLE>
10. MARQUIS REORGANIZATIONS:
The Trust entered an agreement and plan of reorganization and liquidation
("the Marquis Reorganization") with the Marquis Family of Funds (the
"Marquis Funds") pursuant to which all of the assets and liabilities of each
Marquis Fund transferred to a fund of the One Group in exchange for shares
of the corresponding fund of the One Group. The Marquis Reorganization,
which qualified as a tax-free exchange for federal income tax purposes, was
completed on August 10, 1998 following approval by shareholders of the
Marquis Funds at a special shareholder meeting. The following is a summary
of shares outstanding, net assets, net asset value per share issued and
unrealized appreciation immediately before and after the Marquis
Reorganization (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------------------- --------------------
MARQUIS LOUISIANA LOUISIANA LOUISIANA
TAX-FREE MUNICIPAL BOND MUNICIPAL BOND
INCOME FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Shares.............................. 5,044 14,026 19,063
Net assets.......................... $51,579 $143,628 $195,207
Net asset value:
Class I........................... -- 10.24 10.24
Class A........................... 10.23 10.24 10.24
Class B........................... 10.23 10.24 10.24
Unrealized appreciation............. 1,475 7,913 9,388
</TABLE>
11. PEGASUS REORGANIZATIONS:
The Trust entered an agreement and plan of reorganization and liquidation
("the Pegasus Reorganization") with the Pegasus Funds pursuant to which all
of the assets and liabilities of each Pegasus Fund transferred to a fund of
the One Group in exchange for shares of the corresponding fund of the One
Group. The Pegasus Reorganization, which qualified as a tax-free exchange
for federal income tax purposes, was completed on March 22, 1999 following
approval by shareholders of the Pegasus Funds at a special shareholder
meeting. The following is a summary of shares outstanding, net assets, net
asset value per share issued and unrealized
Continued
154
<PAGE> 157
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
appreciation immediately before and after the Pegasus Reorganization
(amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------------------- --------------------
PEGASUS SHORT SHORT-TERM SHORT-TERM
MUNICIPAL MUNICIPAL BOND MUNICIPAL BOND
BOND FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Shares.............................. 12,389 -- 12,389
Net assets.......................... $125,675 -- $125,675
Net asset value:
Class I........................... 10.14 -- 10.14
Class A........................... 10.13 -- 10.13
Class B........................... 10.18 -- 10.18
Unrealized appreciation............. 1,490 -- 1,490
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------------------- --------------------
PEGASUS INTERMEDIATE INTERMEDIATE INTERMEDIATE
MUNICIPAL TAX-FREE BOND TAXFREE BOND
BOND FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Shares.............................. 40,404 54,578 99,212
Net assets.......................... $493,231 $603,298 $1,096,529
Net asset value:
Class I........................... 12.21 11.05 11.05
Class A........................... 12.20 11.05 11.05
Class B........................... 12.20 11.07 11.07
Unrealized appreciation............. 16,153 23,576 39,729
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------------------- --------------------
PEGASUS TAX-FREE TAX-FREE
MUNICIPAL BOND BOND
BOND FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Shares.............................. 68,770 -- 68,770
Net assets.......................... $887,243 -- $887,243
Net asset value:
Class I........................... 12.90 -- 12.90
Class A........................... 12.91 -- 12.91
Class B........................... 12.90 -- 12.90
Unrealized appreciation............. 49,137 -- 49,137
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------------------- --------------------
PEGASUS MICHIGAN MICHIGAN MICHIGAN
MUNICIPAL MUNICIPAL BOND MUNICIPAL BOND
BOND FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Shares.............................. 29,971 -- 29,971
Net assets.......................... $329,411 -- $329,411
Net asset value:
Class I........................... 10.99 -- 10.99
Class A........................... 10.99 -- 10.99
Class B........................... 10.64 -- 10.63
Unrealized appreciation............. 14,703 -- 14,703
</TABLE>
Continued
155
<PAGE> 158
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
12. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below details distributions from long-term capital
gains for the following funds for the fiscal year ended June 30, 2000
(amounts in thousands):
<TABLE>
<CAPTION>
FUND DISTRIBUTIONS
---- -------------
<S> <C>
Arizona Municipal Bond Fund................................. $1,581
Louisiana Municipal Bond Fund............................... 137
Michigan Municipal Bond Fund................................ 481
West Virginia Municipal Bond Fund........................... 38
</TABLE>
As of June 30, 2000, the following Funds have capital loss carryforwards
which are available to offset future capital gains, if any (amounts in
thousands):
<TABLE>
<CAPTION>
EXPIRES
-------------------------------------
FUND 2003 2004 2005 2008 TOTAL
---- ------ ------ ------ ------- -------
<S> <C> <C> <C> <C> <C>
Short-Term Municipal Bond Fund.................. $ -- $ -- $ -- $ 430 $ 430
Intermediate Tax-Free........................... -- -- -- 18,969 18,969
Tax-Free Bond Fund.............................. -- -- -- 7,007 7,007
Municipal Income Fund........................... 1,801 -- 2,561 15,346 19,708
Arizona Municipal Bond Fund..................... -- -- -- 1,796 1,796
Kentucky Municipal Bond Fund.................... 1,067 483 -- 1,239 2,789
Louisiana Municipal Bond Fund................... -- -- -- 991 991
Michigan Municipal Bond Fund.................... -- -- -- 6,431 6,431
Ohio Municipal Bond Fund........................ 2,161 1,463 217 3,234 7,075
West Virginia Municipal Bond Fund............... -- -- -- 1,143 1,143
</TABLE>
Capital losses incurred after October 31 within the fund's fiscal year may
be deferred and treated as occurring on the first day of the following year.
The following deferred losses will be treated as arising on the first day of
the fiscal year ended June 30, 2000 (amounts in thousands):
<TABLE>
<CAPTION>
POST OCTOBER
FUND LOSS DEFERRED
---- -------------
<S> <C>
Short-Term Municipal Bond Fund.............................. $ 945
Intermediate Tax-Free Bond Fund............................. 6,666
Tax-Free Bond Fund.......................................... 6,588
Municipal Income Fund....................................... 23,404
Arizona Municipal Bond Fund................................. 2,637
Kentucky Municipal Bond Fund................................ 500
Louisiana Municipal Bond Fund............................... 1,202
Michigan Municipal Bond Fund................................ 5,165
Ohio Municipal Bond Fund.................................... 1,219
West Virginia Municipal Bond Fund........................... 361
</TABLE>
Continued
156
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The Funds designate the following exempt-interest dividends for the taxable
year ended June 30, 2000 (amounts in thousands):
<TABLE>
<CAPTION>
TAX-EXEMPT
FUND DISTRIBUTION
---- ------------
<S> <C>
Short-Term Municipal Bond Fund.............................. $ 5,201
Intermediate Tax-Free Bond Fund............................. 43,707
Tax-Free Bond Fund.......................................... 36,685
Municipal Income Fund....................................... 52,350
Arizona Municipal Bond Fund................................. 10,561
Kentucky Municipal Bond Fund................................ 6,955
Louisiana Municipal Bond Fund............................... 8,308
Michigan Municipal Bond Fund................................ 14,623
Ohio Municipal Bond Fund.................................... 10,475
West Virginia Municipal Bond Fund........................... 5,014
</TABLE>
157
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Report of Independent Accountants
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
To the Board of Trustees and Shareholders of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Short-Term Municipal Bond Fund,
the Intermediate Tax-Free Bond Fund, the Tax-Free Bond Fund, the Municipal
Income Fund, the Arizona Municipal Bond Fund, the Kentucky Municipal Bond Fund,
the Louisiana Municipal Bond Fund, the Michigan Municipal Bond Fund, the Ohio
Municipal Bond Fund and the West Virginia Municipal Bond Fund (ten series of One
Group Mutual Funds, hereafter referred to as the "Funds") at June 30, 2000, and
the results of each of their operations for the year then ended and the changes
in each of their net assets and the financial highlights for each of the periods
presented (other than those statements of operations, statements of changes in
net assets and financial highlights that have been audited by other independent
accountants), in conformity with accounting principles generally accepted in the
United States. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at June 30, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above. The financial statements of the Short-Term
Municipal Bond Fund, the Tax-Free Bond Fund and the Michigan Municipal Bond Fund
for all periods ended on or before December 31, 1998 were audited by other
independent accountants whose report dated February 12, 1999, expressed an
unqualified opinion on those statements and financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 18, 2000
158
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<PAGE> 162
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<PAGE> 163
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<PAGE> 164
One Group is distributed by
The One Group Services Company,
which is not affiliated with BANK
ONE CORPORATION. Banc One
Investment Advisors Corporation
serves as investment advisor to
the One Group, for which it
receives advisory fees.
Call Investor Services at
The One Group Service Center
at 1 800 480 4111 for a prospectus
containing complete information
about charges and expenses. Read
carefully before investing. Past
performance is no guarantee of
future results.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION
TOG-F-035-AN (8/00)
[Bank One Logo]
